GMM estimation and inference in dynamic panel data models with persistent data
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Cites work
- Another look at the instrumental variable estimation of error-components models
- Efficient estimation of dynamic panel data models: Alternative assumptions and simplified estimation
- Efficient estimation of models for dynamic panel data
- Estimation of autoregressive roots near unity using panel data
- GMM with Many Moment Conditions
- Inference for unit roots in dynamic panels where the time dimension is fixed
- Initial conditions and moment restrictions in dynamic panel data models
- Instrumental Variables Regression with Weak Instruments
- Linear Regression Limit Theory for Nonstationary Panel Data
- Maximum likelihood estimation and inference methods for the covariance stationary panel AR(1)/unit root model
- Maximum likelihood estimation of fixed effects dynamic panel data models covering short time periods
- ON THE BIMODALITY OF THE EXACT DISTRIBUTION OF THE TSLS ESTIMATOR
- Ratios of Normal Variables and Ratios of Sums of Uniform Variables
- Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations
- THE DISTRIBUTION OF THE INDEX IN A NORMAL BIVARIATE POPULATION
- YET MORE ON THE EXACT PROPERTIES OF IV ESTIMATORS
Cited in
(24)- On the behaviour of the GMM estimator in persistent dynamic panel data models with unrestricted initial conditions
- Neighbourhood GMM estimation of dynamic panel data models
- Identification problem of GMM estimators for short panel data models with interactive fixed effects
- Panel AR(1) estimators under misspecification
- A simple test for nonstationarity in mixed panels: a further investigation
- On the effect of mean-nonstationarity in dynamic panel data models
- An efficient linear GMM estimator for the covariance stationary AR(1)/unit root model for panel data
- The weak instrument problem of the system GMM estimator in dynamic panel data models
- GMM Estimation with persistent panel data: an application to production functions
- Long difference instrumental variables estimation for dynamic panel models with fixed effects
- Dynamic panel Anderson-Hsiao estimation with roots near unity
- RELIABLE INFERENCE FOR GMM ESTIMATORS? FINITE SAMPLE PROPERTIES OF ALTERNATIVE TEST PROCEDURES IN LINEAR PANEL DATA MODELS
- Unit root test for short panels with serially correlated errors
- Estimation of dynamic panel data models with a lot of heterogeneity
- Lessons from a decade of IPS and LLC
- IDENTIFICATION ROBUST INFERENCE FOR MOMENTS-BASED ANALYSIS OF LINEAR DYNAMIC PANEL DATA MODELS
- GMM estimation for dynamic panels with fixed effects and strong instruments at unity
- The asymptotic properties of the system GMM estimator in dynamic panel data models when both N and T are large
- Quasi ML estimation of the panel AR(1) model with arbitrary initial conditions
- Likelihood ratio tests for a unit root in panels with random effects
- Testing initial conditions in dynamic panel data models
- Criterion-based inference for GMM in autoregressive panel data models.
- Unit Root Inference in Generally Trending and Cross-Correlated Fixed-T Panels
- Nonlinear GMM estimation in dynamic panels with serially correlated unobservables
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