The effects of dynamic feedbacks on LS and MM estimator accuracy in panel data models

DOI10.1016/J.JECONOM.2005.02.006zbMATH Open1337.62349OpenAlexW3125097435MaRDI QIDQ291709FDOQ291709

Authors: Maurice J. G. Bun, Jan F. Kiviet 

Publication date: 10 June 2016

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

Full work available at URL: https://papers.tinbergen.nl/02101.pdf

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zbMATH Keywords

asymptotic expansionsMonte Carlo simulationdynamic panel data modelbias approximationfeedback mechanisms

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Applications of statistics to economics (62P20)

Cites Work

• The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators
• Another look at the instrumental variable estimation of error-components models
• Formulation and estimation of dynamic models using panel data
• GMM inference when the number of moment conditions in large
• Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations
• Initial conditions and moment restrictions in dynamic panel data models
• Efficient estimation of models for dynamic panel data
• Panel Data Econometrics
• On bias, inconsistency, and efficiency of various estimators in dynamic panel data models
• On the diminishing returns of higher-order terms in asymptotic expansions of bias
• Estimating dynamic panel data models: A guide for macroeconomists
• Expectations of expansions for estimators in a dynamic panel data model: some results for weakly exogenous regressors.

Cited In (30)

• Residual-based IV estimation of dynamic panel data models with fixed effects
• On the impact of error cross-sectional dependence in short dynamic panel estimation
• A SIMPLE EFFICIENT INSTRUMENTAL VARIABLE ESTIMATOR FOR PANEL AR(p) MODELS WHEN BOTHNANDTARE LARGE
• Indirect inference for dynamic panel models
• Indirect inference estimation of dynamic panel data models
• Sequential and efficient GMM estimation of dynamic short panel data models
• A Linear Estimator for Factor-Augmented Fixed-T Panels With Endogenous Regressors
• The weak instrument problem of the system GMM estimator in dynamic panel data models
• The optimal choice of moments in dynamic panel data models
• Panel AR(1) estimators under misspecification
• Small sample bias properties of the system GMM estimator in dynamic panel data models
• Maximum likelihood estimation and inference methods for the covariance stationary panel AR(1)/unit root model
• A joint serial correlation test for linear panel data models
• A test of cross section dependence for a linear dynamic panel model with regressors
• First difference transformation in panel VAR models: robustness, estimation, and inference
• Fixed T dynamic panel data estimators with multifactor errors
• Asymptotic distributions of impulse response functions in short panel vector autoregressions
• The asymptotic and finite sample distributions of OLS and simple IV in simultaneous equations
• Quasi-maximum likelihood estimators for spatial dynamic panel data with fixed effects when both \(n\) and \(T\) are large
• IV estimation of panels with factor residuals
• Efficient GMM estimation of spatial dynamic panel data models with fixed effects
• Robust standard errors in transformed likelihood estimation of dynamic panel data models with cross-sectional heteroskedasticity
• On the effect of mean-nonstationarity in dynamic panel data models
• ASYMPTOTICALLY UNBIASED ESTIMATION OF AUTOCOVARIANCES AND AUTOCORRELATIONS WITH LONG PANEL DATA
• Instrumental variable estimation of dynamic linear panel data models with defactored regressors and a multifactor error structure
• Bootstrap-based bias correction for dynamic panels
• Regularized estimation of dynamic panel models
• The asymptotic properties of the system GMM estimator in dynamic panel data models when both \(N\) and \(T\) are large
• The effects of dynamic feedbacks on LS and MM estimator accuracy in panel data models: some additional results
• A framework for estimating dynamic, unobserved effects panel data models with possible feedback to future explanatory variables

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