Dynamic panel GMM using R

DOI10.1016/BS.HOST.2019.01.002MaRDI QIDQ5116811zbMATH OpenOpenAlexFDO

Authors Peter C. B. Phillips, Chirok Han

Publication date 18 August 2020

Published in Handbook of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/bs.host.2019.01.002

zbMATH Keywords

biasdifference GMMdynamic panelsystem GMMwithin-group estimation

Mathematics Subject Classification ID

Software, source code, etc. for problems pertaining to statistics (62-04) Computational methods for problems pertaining to statistics (62-08) Estimation in multivariate analysis (62H12) Generalized linear models (logistic models) (62J12)

Recommendations

• Dynamic panel data methods and practice
• Estimation of dynamic panel data models with a lot of heterogeneity
• Estimation of nonlinear dynamic panel data models with individual effects
• GMM Estimation with persistent panel data: an application to production functions
• GMM estimation for dynamic panels with fixed effects and strong instruments at unity

Describes a project that uses

Uses Software

• Stata
• GAUSS
• R

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