Neighbourhood GMM estimation of dynamic panel data models

DOI10.1016/J.CSDA.2015.11.015MaRDI QIDQ1659141zbMATH OpenOpenAlexFDO

Authors Vasilis Sarafidis

Publication date 15 August 2018

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.csda.2015.11.015

zbMATH Keywords

spatial dependencegeneralised method of momentsdynamic panel data

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• Another look at the instrumental variable estimation of error-components models
• Cross-Sectional Dependence in Panel Data Analysis
• Detection of structural breaks in linear dynamic panel data models
• Efficient GMM estimation of spatial dynamic panel data models with fixed effects
• Estimation of Dynamic Models with Error Components
• GMM and 2SLS estimation of mixed regressive, spatial autoregressive models
• GMM estimation and inference in dynamic panel data models with persistent data
• GMM estimation with cross sectional dependence
• IV estimation of panels with factor residuals
• Initial conditions and moment restrictions in dynamic panel data models
• On the effect of mean-nonstationarity in dynamic panel data models
• On the impact of error cross-sectional dependence in short dynamic panel estimation
• Panel Data Econometrics
• Panel data models with spatially correlated error components
• Redundancy of moment conditions
• Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations
• Specification and estimation of spatial autoregressive models with autoregressive and heteroskedastic disturbances
• Stochastic Limit Theory
• Testing panel data regression models with spatial error correlation.
• The Oxford handbook of panel data
• The weak instrument problem of the system GMM estimator in dynamic panel data models

Cited in

(7)

• Dynamic spatial panel models: networks, common shocks, and sequential exogeneity
• A Monte Carlo comparison of GMM and QMLE estimators for short dynamic panel data models with spatial errors
• Spatial dynamic panel data models with correlated random effects
• Fixed T dynamic panel data estimators with multifactor errors
• Moment redundancy test with application to efficiency-improving copulas
• Efficient GMM estimation of spatial dynamic panel data models with fixed effects
• The single-index panel data models with heterogeneous link function: mixture approach

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