The asymptotic properties of the system GMM estimator in dynamic panel data models when both N and T are large

DOI10.1017/S0266466614000449zbMATH Open1441.62729MaRDI QIDQ5255877FDOQ5255877

Kazuhiko Hayakawa

Publication date: 22 June 2015

Published in: Econometric Theory (Search for Journal in Brave)

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Mathematics Subject Classification ID

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

Cites Work

• Linear Regression Limit Theory for Nonstationary Panel Data
• Quasi-maximum likelihood estimators for spatial dynamic panel data with fixed effects when both \(n\) and \(T\) are large
• Biases in Dynamic Models with Fixed Effects
• 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
• Redundancy of moment conditions
• Estimating Dynamic Random Effects Models from Panel Data Covering Short Time Periods
• Approximate Distributions of k-Class Estimators when the Degree of Overidentifiability is Large Compared with the Sample Size
• Alternative Approximations to the Distributions of Instrumental Variable Estimators
• GMM Estimation with persistent panel data: an application to production functions
• RELIABLE INFERENCE FOR GMM ESTIMATORS? FINITE SAMPLE PROPERTIES OF ALTERNATIVE TEST PROCEDURES IN LINEAR PANEL DATA MODELS
• 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
• Dynamic panel estimation and homogeneity testing under cross section dependence
• Panel Data Econometrics
• GMM ESTIMATION AND INFERENCE IN DYNAMIC PANEL DATA MODELS WITH PERSISTENT DATA
• Efficient estimation of dynamic panel data models: Alternative assumptions and simplified estimation
• Maximum likelihood estimation of fixed effects dynamic panel data models covering short time periods
• 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
• On the impact of error cross-sectional dependence in short dynamic panel estimation
• The weak instrument problem of the system GMM estimator in dynamic panel data models
• GMM with more moment conditions than observations
• A note on spectral decomposition and maximum likelihood estimation in ANOVA models with balanced data
• Estimation of dynamic panel data models with both individual and time-specific effects
• GMM ESTIMATION FOR DYNAMIC PANELS WITH FIXED EFFECTS AND STRONG INSTRUMENTS AT UNITY
• The effects of dynamic feedbacks on LS and MM estimator accuracy in panel data models: some additional results
• Small sample bias properties of the system GMM estimator in dynamic panel data models
• Growth is good for the poor
• A SIMPLE EFFICIENT INSTRUMENTAL VARIABLE ESTIMATOR FOR PANEL AR(p) MODELS WHEN BOTHNANDTARE LARGE
• X-DIFFERENCING AND DYNAMIC PANEL MODEL ESTIMATION
• On the effect of mean-nonstationarity in dynamic panel data models
• GMM estimation of short dynamic panel data models with interactive fixed effects

Cited In (5)

• Double filter instrumental variable estimation of panel data models with weakly exogenous variables
• Dynamic panels with threshold effect and endogeneity
• Econometric estimates of Earth's transient climate sensitivity
• The factor analytical approach in near unit root interactive effects panels
• Half-panel jackknife estimation for dynamic panel models

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