Jive for panel dynamic simultaneous equations models

DOI10.1017/S0266466617000421MaRDI QIDQ4554605zbMATH OpenOpenAlexFDO

Authors Cheng Hsiao, Qiankun Zhou

Publication date 9 November 2018

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0266466617000421

zbMATH Keywords

asymptotically unbiasedestimatorjackknife bias reduction methodtime series

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Recommendations

• Statistical inference for panel dynamic simultaneous equations models
• IV, GMM or likelihood approach to estimate dynamic panel models when either \(N\) or \(T\) or both are large
• The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators
• Jackknife and analytical bias reduction for nonlinear panel models.
• scientific article; zbMATH DE number 5071101

Cites work

• Analysis of panel data
• Another look at the instrumental variable estimation of error-components models
• Asymptotic distribution of JIVE in a heteroskedastic IV regression with many instruments
• Asymptotically Unbiased Inference for a Dynamic Panel Model with Fixed Effects when Both n and T Are Large
• Efficient GMM estimation of spatial dynamic panel data models with fixed effects
• Estimation of Dynamic Models with Error Components
• Estimation of the Parameters of a Single Equation in a Complete System of Stochastic Equations
• First difference or forward demeaning: Implications for the method of moments estimators
• Formulation and estimation of dynamic models using panel data
• scientific article; zbMATH DE number 3085482 (Why is no real title available?)
• Instrumental variables estimation with many weak instruments using regularized JIVE
• IV, GMM or likelihood approach to estimate dynamic panel models when either \(N\) or \(T\) or both are large
• Jackknife and analytical bias reduction for nonlinear panel models.
• Linear Regression Limit Theory for Nonstationary Panel Data
• Many IVs estimation of dynamic panel regression models with measurement error
• Some properties of the LIML estimator in a dynamic panel structural equation
• Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations
• Statistical inference for panel dynamic simultaneous equations models
• The Bias of Instrumental Variable Estimators of Simultaneous Equation Systems
• The Oxford handbook of panel data
• The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators

Cited in

(8)

• Half-panel jackknife estimation for dynamic panel models
• Many IVs estimation of dynamic panel regression models with measurement error
• IV, GMM or likelihood approach to estimate dynamic panel models when either \(N\) or \(T\) or both are large
• The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators
• First difference or forward demeaning: Implications for the method of moments estimators
• Jackknife estimation of a cluster-sample IV regression model with many weak instruments
• Regularized estimation of dynamic panel models
• Some properties of the LIML estimator in a dynamic panel structural equation

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