Long difference instrumental variables estimation for dynamic panel models with fixed effects
From MaRDI portal
Publication:451263
DOI10.1016/j.jeconom.2006.07.005zbMath1247.91136MaRDI QIDQ451263
Jinyong Hahn, Jerry A. Hausman, Guido M. 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
91B82: Statistical methods; economic indices and measures
Related Items
X-DIFFERENCING AND DYNAMIC PANEL MODEL ESTIMATION, Weak Instrumental Variables Models for Longitudinal Data, The effect of neglecting the slope parameters’ heterogeneity on dynamic models of corporate capital structure, First difference or forward demeaning: Implications for the method of moments estimators, A finite sample correction for the variance of linear efficient two-step GMM estimators, Generalized method of trimmed moments, Bias in dynamic panel estimation with fixed effects, incidental trends and cross section dependence, Unequal spacing in dynamic panel data: identification and estimation, Asymptotic distribution of quasi-maximum likelihood estimation of dynamic panels using long difference transformation when both \(N\) and \(T\) are large, Statistical inference for panel dynamic simultaneous equations models, Penalized quantile regression for dynamic panel data, On the behaviour of the GMM estimator in persistent dynamic panel data models with unrestricted initial conditions, Small sample bias properties of the system GMM estimator in dynamic panel data models, Panel AR(1) estimators under misspecification, Many IVs estimation of dynamic panel regression models with measurement error, The optimal choice of moments in dynamic panel data models, An incidental parameters free inference approach for panels with common shocks, A SIMPLE EFFICIENT INSTRUMENTAL VARIABLE ESTIMATOR FOR PANEL AR(p) MODELS WHEN BOTHNANDTARE LARGE
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- 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
- The second-order bias and mean squared error of nonlinear estimators
- Formulation and estimation of dynamic models using panel data
- Efficient estimation of dynamic panel data models: Alternative assumptions and simplified estimation
- Efficient estimation of panel data models with sequential moment restrictions
- Discontinuities of weak instrument limiting distributions.
- How informative is the initial condition in the dynamic panel model with fixed effects?
- On bias, inconsistency, and efficiency of various estimators in dynamic panel data models
- Estimation with weak instruments: Accuracy of higher‐order bias and MSE approximations
- The Bias and Moment Matrix of the General k-Class Estimators of the Parameters in Simultaneous Equations
- Identification in Linear Simultaneous Equations Models with Covariance Restrictions: An Instrumental Variables Interpretation
- Efficient Estimation and Identification of Simultaneous Equation Models with Covariance Restrictions
- Biases in Dynamic Models with Fixed Effects
- Estimation of Dynamic Models with Error Components
- Alternative Approximations to the Distributions of Instrumental Variable Estimators
- EXPECTATIONS OF RATIOS OF QUADRATIC FORMS IN NORMAL VARIABLES: EVALUATING SOME TOP‐ORDER INVARIANT POLYNOMIALS
- Instrumental Variables Regression with Weak Instruments
- GMM with Weak Identification
- Choosing the Number of Instruments
- Orthogonal Parameters and Panel Data
- GMM ESTIMATION AND INFERENCE IN DYNAMIC PANEL DATA MODELS WITH PERSISTENT DATA
- The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators
- A New Specification Test for the Validity of Instrumental Variables
- Asymptotically Unbiased Inference for a Dynamic Panel Model with Fixed Effects when Both n and T Are Large
- Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations
- Matrix theory. Basic results and techniques