Corrected standard errors for optimal minimum distance estimator

DOI10.1016/J.ECONLET.2018.02.029MaRDI QIDQ1787565zbMATH OpenOpenAlexWikidataFDO

Authors Kazuhiko Hayakawa

Publication date 5 October 2018

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2018.02.029

zbMATH Keywords

serial correlationpanel data modelminimum distance estimatorinteractive fixed effectsstandard error

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Analysis of variance and covariance (ANOVA) (62J10)

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Cites work

• A finite sample correction for the variance of linear efficient two-step GMM estimators
• Another look at the instrumental variable estimation of error-components models
• Estimating Vector Autoregressions with Panel Data
• GMM Estimation with persistent panel data: an application to production functions
• GMM estimation of short dynamic panel data models with interactive fixed effects
• Identification problem of GMM estimators for short panel data models with interactive fixed effects
• Initial conditions and moment restrictions in dynamic panel data models
• Multivariate regression models for panel data
• Panel data models with multiple time-varying individual effects
• Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations

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