GMM estimation of short dynamic panel data models with interactive fixed effects

DOI10.14490/JJSS.42.109MaRDI QIDQ2858119zbMATH OpenOpenAlexFDO

Authors Kazuhiko Hayakawa

Publication date 19 November 2013

Published in Journal of the Japan Statistical Society (Search for Journal in Brave)

Full work available at URL https://www.jstage.jst.go.jp/A_PRedirectJournalInit?sryCd=jjss&kijiCd=42_109&screenID=AF06S010&noVol=42&noIssue=2

zbMATH Keywords

factor structureGMMinteractive fixed effectspanel dataprojection method

Mathematics Subject Classification ID

Statistics (62-XX)

Cited in

(8)

• Identification problem of GMM estimators for short panel data models with interactive fixed effects
• Corrected standard errors for optimal minimum distance estimator
• Quasi-maximum likelihood estimation of short panel data models with time-varying individual effects
• An incidental parameters free inference approach for panels with common shocks
• scientific article; zbMATH DE number 7113123 (Why is no real title available?)
• The asymptotic properties of the system GMM estimator in dynamic panel data models when both N and T are large
• Fixed T dynamic panel data estimators with multifactor errors
• An augmented Anderson–Hsiao estimator for dynamic short-T panels^†

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