Small sample bias properties of the system GMM estimator in dynamic panel data models

DOI10.1016/J.ECONLET.2006.09.011MaRDI QIDQ1934015zbMATH OpenOpenAlexFDO

Authors Kazuhiko Hayakawa

Publication date 28 January 2013

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2006.09.011

zbMATH Keywords

finite sample bias

Mathematics Subject Classification ID

Point estimation (62F10) Applications of statistics to economics (62P20)

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Cites work

• Another look at the instrumental variable estimation of error-components models
• Initial conditions and moment restrictions in dynamic panel data models
• Long difference instrumental variables estimation for dynamic panel models with fixed effects
• Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations
• The effects of dynamic feedbacks on LS and MM estimator accuracy in panel data models

Cited in

(20)

• Improved GMM estimation of panel VAR models
• On the behaviour of the GMM estimator in persistent dynamic panel data models with unrestricted initial conditions
• A bias-corrected least squares estimator of dynamic panel models
• Half-panel jackknife estimation for dynamic panel models
• Econometric estimates of Earth's transient climate sensitivity
• Robust standard errors in transformed likelihood estimation of dynamic panel data models with cross-sectional heteroskedasticity
• Job destruction and the impact of imports on wages in U.S. manufacturing
• To whom does outward FDI give jobs?
• A SIMPLE EFFICIENT INSTRUMENTAL VARIABLE ESTIMATOR FOR PANEL AR(p) MODELS WHEN BOTHNANDTARE LARGE
• Small Sample Bias of Alternative Estimation Methods for Moment Condition Models: Monte Carlo Evidence for Covariance Structures
• The weak instrument problem of the system GMM estimator in dynamic panel data models
• Estimation of dynamic panel data models with a lot of heterogeneity
• Do the most frequently used dynamic panel data estimators have the best performance in a small sample? A Monte Carlo comparison
• GMM estimation for dynamic panels with fixed effects and strong instruments at unity
• The asymptotic properties of the system GMM estimator in dynamic panel data models when both N and T are large
• Quasi ML estimation of the panel AR(1) model with arbitrary initial conditions
• Testing initial conditions in dynamic panel data models
• Residual-based IV estimation of dynamic panel data models with fixed effects
• Maximum likelihood estimation of short panel autoregressive models with flexible form of fixed effects
• The effects of dynamic feedbacks on LS and MM estimator accuracy in panel data models: some additional results

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