Efficient estimation of panel data models with sequential moment restrictions
From MaRDI portal
Publication:1362052
DOI10.1016/S0304-4076(97)00012-2zbMath0880.62119MaRDI QIDQ1362052
Publication date: 3 August 1997
Published in: Journal of Econometrics (Search for Journal in Brave)
generalized method of moments; panel data models; efficient estimation; nonparametric regression; sequential moment restrictions
Related Items
Nonstationary panel data analysis: an overview of some recent developments, Semiparametric Efficient Distribution Free Estimation of Panel Models, GMM estimation of linear panel data models with time-varying individual effects, Empirical likelihood estimation and consistent tests with conditional moment restrictions, Misspecified heteroskedasticity in the panel probit model: A small sample comparison of GMM and SML estimators, How informative is the initial condition in the dynamic panel model with fixed effects?, GMM inference when the number of moment conditions in large
Cites Work
- Large Sample Properties of Generalized Method of Moments Estimators
- Initial conditions and moment restrictions in dynamic panel data models
- Efficient estimation of models for dynamic panel data
- Another look at the instrumental variable estimation of error-components models
- Efficient estimation of limited dependent variable models with endogenous explanatory variables
- Adaptive estimation of regression models via moment restrictions
- Asymptotic efficiency in estimation with conditional moment restrictions
- Estimating systems of equations with different instruments for different equations
- Efficient Instrumental Variables Estimation of Nonlinear Models
- Best Nonlinear Three-Stage Least Squares Estimation of Certain Econometric Models
- Asymptotically Efficient Estimation in the Presence of Heteroskedasticity of Unknown Form
- Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations
