Long difference instrumental variables estimation for dynamic panel models with fixed effects

DOI10.1016/J.JECONOM.2006.07.005MaRDI QIDQ451263zbMATH OpenOpenAlexFDO

Authors Jinyong Hahn, Jerry Hausman, Guido Kuersteiner

Publication date 23 September 2012

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

Full work available at URL https://doi.org/10.1016/j.jeconom.2006.07.005

zbMATH Keywords

bias correctionsecond orderunit rootweak instrumentdynamic panel

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

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Cites work

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Cited in

(23)

• Panel AR(1) estimators under misspecification
• Small sample bias properties of the system GMM estimator in dynamic panel data models
• A SIMPLE EFFICIENT INSTRUMENTAL VARIABLE ESTIMATOR FOR PANEL AR(p) MODELS WHEN BOTHNANDTARE LARGE
• Statistical inference for panel dynamic simultaneous equations models
• Capital Structure Adjustment Speed: Evidence from Borsa Istanbul Sub-Sectors
• Bias in dynamic panel estimation with fixed effects, incidental trends and cross section dependence
• The effect of neglecting the slope parameters' heterogeneity on dynamic models of corporate capital structure
• X-differencing and dynamic panel model estimation
• The weak instrument problem of the system GMM estimator in dynamic panel data models
• Penalized quantile regression for dynamic panel data
• The optimal choice of moments in dynamic panel data models
• A finite sample correction for the variance of linear efficient two-step GMM estimators
• Generalized method of trimmed moments
• Indirect inference estimation of dynamic panel data models
• IDENTIFICATION ROBUST INFERENCE FOR MOMENTS-BASED ANALYSIS OF LINEAR DYNAMIC PANEL DATA MODELS
• Many IVs estimation of dynamic panel regression models with measurement error
• Asymptotic distribution of quasi-maximum likelihood estimation of dynamic panels using long difference transformation when both \(N\) and \(T\) are large
• First difference or forward demeaning: Implications for the method of moments estimators
• Unequal spacing in dynamic panel data: identification and estimation
• An incidental parameters free inference approach for panels with common shocks
• Dynamic firm performance and estimator choice: a comparison of dynamic panel data estimators
• On the behaviour of the GMM estimator in persistent dynamic panel data models with unrestricted initial conditions
• Weak instrumental variables models for longitudinal data

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