Local generalized method of moments estimation based on kernel weights: An application to panel data

DOI10.1080/02664769921990MaRDI QIDQ4935535zbMATH OpenOpenAlexFDO

Authors Rosa Bernardini Papalia

Publication date 31 January 2000

Published in Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02664769921990

zbMATH Keywords

panel datadynamic models

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) General nonlinear regression (62J02) Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12)

Recommendations

• Local GMM estimation of semiparametric panel data with smooth coefficient models
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• Kernel-weighted GMM estimators for linear time series models
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Cites work

• Consistent nonparametric regression. Discussion
• Design-adaptive Nonparametric Regression
• Large Sample Properties of Generalized Method of Moments Estimators
• Robust Locally Weighted Regression and Smoothing Scatterplots
• Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations

Cited in

(4)

• Local GMM estimation of semiparametric panel data with smooth coefficient models
• Simultaneous selection and weighting of moments in GMM using a trapezoidal kernel
• Local lagged adapted generalized method of moments and applications
• Local GMM estimation of time series models with conditional moment restrictions

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