Bootstrap inference for linear dynamic panel data models with individual fixed effects

DOI10.1016/J.JECONOM.2015.02.017MaRDI QIDQ494176zbMATH OpenOpenAlexFDO

Authors Sílvia Gonçalves, Maximilien Kaffo

Publication date 31 August 2015

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2015.02.017

zbMATH Keywords

bootstrapfixed effectsincidental parameter biaspanel data autoregression

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

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Cites work

• scientific article; zbMATH DE number 4102349 (Why is no real title available?)
• scientific article; zbMATH DE number 3765004 (Why is no real title available?)
• scientific article; zbMATH DE number 765034 (Why is no real title available?)
• A Sieve Bootstrap For The Test Of A Unit Root
• A bootstrap procedure for panel data sets with many cross-sectional units
• Asymptotic properties of a robust variance matrix estimator for panel data when T is large
• Asymptotically Unbiased Inference for a Dynamic Panel Model with Fixed Effects when Both n and T Are Large
• Bias in dynamic panel estimation with fixed effects, incidental trends and cross section dependence
• Bias reduction for dynamic nonlinear panel models with fixed effects
• Biases in Dynamic Models with Fixed Effects
• Bootstrap Standard Error Estimates for Linear Regression
• Bootstrap and wild bootstrap for high dimensional linear models
• Bootstrap inference for linear dynamic panel data models with individual fixed effects
• Bootstrap procedures under some non-i.i.d. models
• Bootstrap-based bias correction for dynamic panels
• Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
• Bootstrapping factor-augmented regression models
• Consistent Estimates Based on Partially Consistent Observations
• Efficiency and robustness in resampling
• GMM Estimation of Autoregressive Roots Near Unity with Panel Data
• Indirect inference for dynamic panel models
• Jackknife, bootstrap and other resampling methods in regression analysis
• Nuisance parameters, composite likelihoods and a panel of GARCH models
• On bias, inconsistency, and efficiency of various estimators in dynamic panel data models
• The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators
• The moving blocks bootstrap for panel linear regression models with individual fixed effects
• The wild bootstrap, tamed at last

Cited in

(17)

• Improving the finite sample performance of autoregression estimators in dynamic factor models: a bootstrap approach
• On the robustness of the pooled CCE estimator
• Monte Carlo two-stage indirect inference (2SIF) for autoregressive panels
• scientific article; zbMATH DE number 5932990 (Why is no real title available?)
• Domestic barriers to entry and external vulnerability in emerging economies
• Time-specific average estimation of dynamic panel regressions
• The persistence of wages
• The moving blocks bootstrap for panel linear regression models with individual fixed effects
• Estimation and bootstrapping under spatiotemporal models with unobserved heterogeneity
• Bootstrap Inference for Panel Data Quantile Regression
• Uniform inference in linear panel data models with two-dimensional heterogeneity
• Bootstrap inference in a linear equation estimated by instrumental variables
• Inferences on the regression coefficients in panel data models: parametric bootstrap approach
• Panel data analysis with heterogeneous dynamics
• Bootstrap inference for linear dynamic panel data models with individual fixed effects
• Bootstrap inference for fixed-effect models
• Cross-section bootstrap for CCE regressions

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