On the impact of error cross-sectional dependence in short dynamic panel estimation

DOI10.1111/j.1368-423X.2008.00260.xzbMath1190.62205OpenAlexW2035887783MaRDI QIDQ3566438

Vasilis Sarafidis, Donald Robertson

Publication date: 8 June 2010

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

Full work available at URL: https://doi.org/10.1111/j.1368-423x.2008.00260.x

zbMATH Keywords

asymptotic biasgeneralized method of momentsdynamic panel datainstrumental variablescross-sectional dependencetime-specific demeaning

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

Related Items (11)

A joint serial correlation test for linear panel data models ⋮ A test of cross section dependence for a linear dynamic panel model with regressors ⋮ Neighbourhood GMM estimation of dynamic panel data models ⋮ Cross-Sectional Dependence in Panel Data Analysis ⋮ Time-specific average estimation of dynamic panel regressions ⋮ Linear panel regressions with two-way unobserved heterogeneity ⋮ Panel models with interactive effects ⋮ THE ASYMPTOTIC PROPERTIES OF THE SYSTEM GMM ESTIMATOR IN DYNAMIC PANEL DATA MODELS WHEN BOTH N AND T ARE LARGE ⋮ IV estimation of panels with factor residuals ⋮ Fixed T dynamic panel data estimators with multifactor errors ⋮ Common Correlated Effects Estimation of Dynamic Panels with Cross-Sectional Dependence

Cites Work

• Estimating Vector Autoregressions with Panel Data
• Initial conditions and moment restrictions in dynamic panel data models
• Efficient estimation of models for dynamic panel data
• Another look at the instrumental variable estimation of error-components models
• Bias in dynamic panel estimation with fixed effects, incidental trends and cross section dependence
• The effects of dynamic feedbacks on LS and MM estimator accuracy in panel data models
• A test of cross section dependence for a linear dynamic panel model with regressors
• A note on the Anderson-Hsiao estimator for panel data
• On bias, inconsistency, and efficiency of various estimators in dynamic panel data models
• Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
• Biases in Dynamic Models with Fixed Effects
• Estimation of Dynamic Models with Error Components
• Dynamic panel estimation and homogeneity testing under cross section dependence
• Efficient Estimation of the Seemingly Unrelated Regression Cointegration Model and Testing for Purchasing Power Parity
• Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations
• GMM estimation of linear panel data models with time-varying individual effects

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