Many IVs estimation of dynamic panel regression models with measurement error

DOI10.1016/J.JECONOM.2017.06.009MaRDI QIDQ2399538zbMATH OpenOpenAlexFDO

Authors Nayoung Lee, Hyungsik Roger Moon, Qiankun Zhou

Publication date 24 August 2017

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2017.06.009

zbMATH Keywords

dynamic panel regressionJIVElimiting distributionmany IVsmeasurement error

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

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• IV estimation of panels with factor residuals

Cites work

• Alternative Approximations to the Distributions of Instrumental Variable Estimators
• Another look at the instrumental variable estimation of error-components models
• Asymptotic distribution of JIVE in a heteroskedastic IV regression with many instruments
• Biases in Dynamic Models with Fixed Effects
• Consistent Estimation with a Large Number of Weak Instruments
• Estimation and inference with weak, semi-strong, and strong identification
• Estimation of Dynamic Models with Error Components
• Formulation and estimation of dynamic models using panel data
• Generalized Method of Moments With Many Weak Moment Conditions
• GMM estimation in panel data models with measurement error
• GMM with Many Moment Conditions
• scientific article; zbMATH DE number 5245028 (Why is no real title available?)
• Instrumental variables estimation with many weak instruments using regularized JIVE
• Long difference instrumental variables estimation for dynamic panel models with fixed effects
• 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
• The Bias of Instrumental Variable Estimators of Simultaneous Equation Systems
• The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators

Cited in

(9)

• Analysis of interactive fixed effects dynamic linear panel regression with measurement error
• Measurement error models: editors' introduction
• Consistent estimation of linear panel data models with measurement error
• Many IVs estimation of dynamic panel regression models with measurement error
• An incidental parameters free inference approach for panels with common shocks
• Jive for panel dynamic simultaneous equations models
• An augmented Anderson–Hsiao estimator for dynamic short-T panels^†
• Panel regression with multiplicative measurement errors
• An algorithm for non-parametric estimation in state-space models

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