Efficient estimation of dynamic panel data models: Alternative assumptions and simplified estimation
DOI10.1016/0304-4076(95)01793-3zbMATH Open0873.62124OpenAlexW2001756508MaRDI QIDQ1362041FDOQ1362041
Publication date: 3 August 1997
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0304-4076(95)01793-3
Recommendations
stationaritypanel datageneralized method of momentscovariance restrictionsconditional moment testsestimation of dynamic modelslinearized estimatornonlinear GMM estimator
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)
Cites Work
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- Efficient Estimation Using Panel Data
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- Estimating Vector Autoregressions with Panel Data
- Efficient estimation of models for dynamic panel data
- Estimating systems of equations with different instruments for different equations
- A separability result for gmm estimation, with applications to gls prediction and conditional moment tests
Cited In (31)
- Consistent estimation of linear panel data models with measurement error
- Estimation of dynamic panel data models with a lot of heterogeneity
- GMM ESTIMATION AND INFERENCE IN DYNAMIC PANEL DATA MODELS WITH PERSISTENT DATA
- GMM estimators with improved finite sample properties using principal components of the weighting matrix, with an application to the dynamic panel data model
- Level-based estimation of dynamic panel models
- A SIMPLE EFFICIENT INSTRUMENTAL VARIABLE ESTIMATOR FOR PANEL AR(p) MODELS WHEN BOTHNANDTARE LARGE
- First difference transformation in panel VAR models: Robustness, estimation, and inference
- A Computationally Practical Simulation Estimator for Panel Data
- Efficiency Measure from Dynamic Stochastic Production Frontier: Application to Tunisian Textile, Clothing, and Leather Industries
- Case deletion diagnostics for GMM estimation
- Indirect inference estimation of dynamic panel data models
- Heuristic optimization methods for dynamic panel data model selection: application on the Russian innovative performance
- An augmented Anderson–Hsiao estimator for dynamic short-T panels†
- Projection estimators for autoregressive panel data models
- A Note on Dynamic Modelling from Short and Heterogeneous Pseudo Panels
- Maximum likelihood estimation and inference methods for the covariance stationary panel AR(1)/unit root model
- Detection of structural breaks in linear dynamic panel data models
- A study on the persistence of Farrell's efficiency measure under a dynamic framework
- Title not available (Why is that?)
- Efficient Estimation Using Panel Data
- Measuring dynamic efficiency: theories and an integrated methodology
- THE ASYMPTOTIC PROPERTIES OF THE SYSTEM GMM ESTIMATOR IN DYNAMIC PANEL DATA MODELS WHEN BOTH N AND T ARE LARGE
- Identification of dynamic binary response models
- A comparative analysis of different IV and GMM estimators of dynamic panel data models
- An efficient linear GMM estimator for the covariance stationary AR(1)/unit root model for panel data
- Long difference instrumental variables estimation for dynamic panel models with fixed effects
- Exponential regression of dynamic panel data models.
- Estimation of long-run inefficiency levels: a dynamic frontier approach
- EFFICIENCY IN LARGE DYNAMIC PANEL MODELS WITH COMMON FACTORS
- ESTIMATION AND INFERENCE IN SHORT PANEL VECTOR AUTOREGRESSIONS WITH UNIT ROOTS AND COINTEGRATION
- Quasi ML estimation of the panel AR(1) model with arbitrary initial conditions
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