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

DOI10.1016/J.JECONOM.2006.07.005zbMATH Open1247.91136OpenAlexW1963733206MaRDI QIDQ451263FDOQ451263

Jerry Hausman, Guido Kuersteiner, Jinyong Hahn

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

Recommendations

• Estimation of fixed effects dynamic panel data models: linear differencing or conditional expectation
• Estimating long-run relationships from dynamic heterogeneous panels
• INSTRUMENTAL VARIABLES ESTIMATION WITH PANEL DATA
• On instrumental variable estimation of semiparametric dynamic panel data models.
• Estimating dynamic panel data. A practical approach to perform long panels
• Weak instrumental variables models for longitudinal data
• Instrumental variables estimation in large heterogeneous panels with multifactor structure
• Instrumental variable estimation of dynamic linear panel data models with defactored regressors and a multifactor error structure
• Fixed effects instrumental variables estimation in correlated random coefficient panel data models

zbMATH Keywords

bias correctionsecond orderunit rootweak instrumentdynamic panel

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Cites Work

• The second-order bias and mean squared error of nonlinear estimators
• The Bias and Moment Matrix of the General k-Class Estimators of the Parameters in Simultaneous Equations
• Title not available (Why is that?)
• Title not available (Why is that?)
• EXPECTATIONS OF RATIOS OF QUADRATIC FORMS IN NORMAL VARIABLES: EVALUATING SOME TOP‐ORDER INVARIANT POLYNOMIALS
• Choosing the Number of Instruments
• 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
• Instrumental Variables Regression with Weak Instruments
• The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators
• Asymptotically Unbiased Inference for a Dynamic Panel Model with Fixed Effects when Both n and T Are Large
• Another look at the instrumental variable estimation of error-components models
• Formulation and estimation of dynamic models using panel data
• Efficient estimation of panel data models with sequential moment restrictions
• Alternative Approximations to the Distributions of Instrumental Variable Estimators
• GMM with Weak Identification
• A New Specification Test for the Validity of Instrumental Variables
• Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations
• Estimating Vector Autoregressions with Panel Data
• Initial conditions and moment restrictions in dynamic panel data models
• Efficient estimation of models for dynamic panel data
• Orthogonal Parameters and Panel Data
• Estimation with weak instruments: Accuracy of higher‐order bias and MSE approximations
• GMM ESTIMATION AND INFERENCE IN DYNAMIC PANEL DATA MODELS WITH PERSISTENT DATA
• Efficient estimation of dynamic panel data models: Alternative assumptions and simplified estimation
• Discontinuities of weak instrument limiting distributions.
• Title not available (Why is that?)
• On bias, inconsistency, and efficiency of various estimators in dynamic panel data models
• Matrix theory. Basic results and techniques
• How informative is the initial condition in the dynamic panel model with fixed effects?
• Identification in Linear Simultaneous Equations Models with Covariance Restrictions: An Instrumental Variables Interpretation

Cited In (22)

• Generalized method of trimmed moments
• Many IVs estimation of dynamic panel regression models with measurement error
• On the behaviour of the GMM estimator in persistent dynamic panel data models with unrestricted initial conditions
• X-DIFFERENCING AND DYNAMIC PANEL MODEL ESTIMATION
• A SIMPLE EFFICIENT INSTRUMENTAL VARIABLE ESTIMATOR FOR PANEL AR(p) MODELS WHEN BOTHNANDTARE LARGE
• IDENTIFICATION ROBUST INFERENCE FOR MOMENTS-BASED ANALYSIS OF LINEAR DYNAMIC PANEL DATA MODELS
• Indirect inference estimation of dynamic panel data models
• Bias in dynamic panel estimation with fixed effects, incidental trends and cross section dependence
• 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
• Weak Instrumental Variables Models for Longitudinal Data
• First difference or forward demeaning: Implications for the method of moments estimators
• Dynamic firm performance and estimator choice: a comparison of dynamic panel data estimators
• Statistical inference for panel dynamic simultaneous equations models
• The effect of neglecting the slope parameters’ heterogeneity on dynamic models of corporate capital structure
• An incidental parameters free inference approach for panels with common shocks
• Capital Structure Adjustment Speed: Evidence from Borsa Istanbul Sub-Sectors
• A finite sample correction for the variance of linear efficient two-step GMM estimators
• 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
• Penalized quantile regression for dynamic panel data

This page was built for publication: Long difference instrumental variables estimation for dynamic panel models with fixed effects

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q451263)