Criterion-based inference for GMM in autoregressive panel data models.

DOI10.1016/S0165-1765(01)00507-9MaRDI QIDQ5958418zbMATH OpenOpenAlexWikidataFDO

Authors Stephen D. Bond, Clive Bowsher, Frank Windmeijer

Publication date 3 March 2002

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0165-1765(01)00507-9

zbMATH Keywords

Generalised method of momentsHypothesis testingPanel data

Mathematics Subject Classification ID

Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• RELIABLE INFERENCE FOR GMM ESTIMATORS? FINITE SAMPLE PROPERTIES OF ALTERNATIVE TEST PROCEDURES IN LINEAR PANEL DATA MODELS
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• GMM estimation and inference in dynamic panel data models with persistent data

Cites work

• Another look at the instrumental variable estimation of error-components models
• Efficient estimation of models for dynamic panel data
• GMM inference when the number of moment conditions in large
• scientific article; zbMATH DE number 1898277 (Why is no real title available?)
• Hypothesis Testing with Efficient Method of Moments Estimation
• Information Theoretic Approaches to Inference in Moment Condition Models
• Initial conditions and moment restrictions in dynamic panel data models
• Large Sample Properties of Generalized Method of Moments Estimators
• One-Step Estimators for Over-Identified Generalized Method of Moments Models
• Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations

Cited in

(6)

• GMM versus GQL inferences in semiparametric linear dynamic mixed models
• Projection estimators for autoregressive panel data models
• RELIABLE INFERENCE FOR GMM ESTIMATORS? FINITE SAMPLE PROPERTIES OF ALTERNATIVE TEST PROCEDURES IN LINEAR PANEL DATA MODELS
• GMM Estimation of Autoregressive Roots Near Unity with Panel Data
• Testing initial conditions in dynamic panel data models
• GMM inference in the matrix exponential spatial specification

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