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

DOI10.1016/J.JECONOM.2005.02.006MaRDI QIDQ291709zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

asymptotic expansionsMonte Carlo simulationdynamic panel data modelbias approximationfeedback mechanisms

Mathematics Subject Classification ID

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

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Cites work

• Another look at the instrumental variable estimation of error-components models
• Efficient estimation of models for dynamic panel data
• 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.
• Formulation and estimation of dynamic models using panel data
• GMM inference when the number of moment conditions in large
• Initial conditions and moment restrictions in dynamic panel data models
• 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
• Panel Data Econometrics
• Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations
• The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators

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
• Indirect inference for dynamic panel models
• A SIMPLE EFFICIENT INSTRUMENTAL VARIABLE ESTIMATOR FOR PANEL AR(p) MODELS WHEN BOTHNANDTARE LARGE
• 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 optimal choice of moments in dynamic panel data models
• The weak instrument problem of the system GMM estimator 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
• Asymptotic distributions of impulse response functions in short panel vector autoregressions
• Fixed T dynamic panel data estimators with multifactor errors
• 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
• The effects of dynamic feedbacks on LS and MM estimator accuracy in panel data models: some additional results
• 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
• A framework for estimating dynamic, unobserved effects panel data models with possible feedback to future explanatory variables

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