Efficient estimation of panel data models with strictly exogenous explanatory variables

DOI10.1016/S0304-4076(99)00008-1zbMath0947.62077OpenAlexW2050043244WikidataQ126778121 ScholiaQ126778121MaRDI QIDQ1808562

Yanyan Li

Publication date: 12 November 2000

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

Full work available at URL: https://doi.org/10.1016/s0304-4076(99)00008-1

zbMATH Keywords

efficiencypanel dataredundancy

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Linear regression; mixed models (62J05)

Related Items (20)

Efficient estimation and inference in linear pseudo-panel data models ⋮ Regressor and random‐effects dependencies in multilevel models ⋮ Instrumental variable estimation of heteroskedasticity adaptive error component models ⋮ Fixed effects, random effects or Hausman-Taylor: a pretest estimator ⋮ Partial GLS regression ⋮ Linear fixed-effects estimation with nonrepeated outcomes ⋮ Semiparametric-efficient estimation of AR(1) panel data models. ⋮ The Hausman-Taylor panel data model with serial correlation ⋮ Efficient estimation of multi-level models with strictly exogenous explanatory variables ⋮ Select the valid and relevant moments: an information-based Lasso for GMM with many moments ⋮ Estimation for the multi-way error components model with ill-conditioned panel data ⋮ Testing for sphericity in a fixed effects panel data model ⋮ A Lagrange multiplier test for cross-sectional dependence in a fixed effects panel data model ⋮ On testing for sphericity with non-normality in a fixed effects panel data model ⋮ GMM ESTIMATION FOR DYNAMIC PANELS WITH FIXED EFFECTS AND STRONG INSTRUMENTS AT UNITY ⋮ Multilevel modeling with correlated effects ⋮ Optimal data collection design in machine learning: the case of the fixed effects generalized least squares panel data model ⋮ Redundancy of moment conditions ⋮ Estimation of time-invariant effects in static panel data models ⋮ Estimation of partially specified spatial panel data models with fixed-effects

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• Estimating systems of equations with different instruments for different equations
• Instrumental-Variable Estimation of an Error-Components Model
• Efficient Estimation Using Panel Data
• Efficient Estimation and Identification of Simultaneous Equation Models with Covariance Restrictions
• Panel Data and Unobservable Individual Effects
• Efficiency Bounds for Semiparametric Regression
• The Maximum Likelihood and the Nonlinear Three-Stage Least Squares Estimator in the General Nonlinear Simultaneous Equation Model

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