Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations

DOI10.2307/2297968zbMATH Open0719.62116OpenAlexW2025610165WikidataQ56030332 ScholiaQ56030332MaRDI QIDQ5751802FDOQ5751802

Authors: Manuel Arellano, Stephen D. Bond 

Publication date: 1991

Published in: Review of Economic Studies (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/ec9ee35477bd1ecd186131926ca77b38109fec14

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zbMATH Keywords

generalized method of momentsspecification testsdynamic modeltest of serial correlationemployment equationsGMM residualsHausman specification testsSargan tests of over-identifying restrictions

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cited In (only showing first 100 items - show all)

• On the impact of error cross-sectional dependence in short dynamic panel estimation
• Probabilistic measures of efficiency and the influence of contextual variables in nonparametric production models: an application to agricultural research in Brazil
• Estimation of dynamic panel data models with a lot of heterogeneity
• On the behaviour of the GMM estimator in persistent dynamic panel data models with unrestricted initial conditions
• Estimating dynamic models from repeated cross-sections
• Incidental parameters, initial conditions and sample size in statistical inference for dynamic panel data models
• GMM estimators with improved finite sample properties using principal components of the weighting matrix, with an application to the dynamic panel data model
• GMM inference when the number of moment conditions in large
• On testing overidentifying restrictions in dynamic panel data models
• Simple and trustworthy cluster-robust GMM inference
• Binary choice panel data models with predetermined variables
• Asymptotically unbiased estimation of autocovariances and autocorrelations with panel data in the presence of individual and time effects
• Likelihood inference and the role of initial conditions for the dynamic panel data model
• Semiparametric efficient estimation of dynamic panel data models
• Econometric analysis of copyrights
• Statistical inference in a random coefficient panel model
• Consistent model and moment selection procedures for GMM estimation with application to dynamic panel data models
• Root-\(N\) consistent semiparametric estimators of a dynamic panel-sample-selection model
• The weak instrument problem of the system GMM estimator in dynamic panel data models
• Identification of panel data models with endogenous censoring
• The optimal choice of moments in dynamic panel data models
• Estimating dynamic models from time series of independent cross-sections
• Reprint of: Initial conditions and moment restrictions in dynamic panel data models
• Robust estimation of dynamic fixed-effects panel data models
• Efficient estimation and inference in linear pseudo-panel data models
• The effects of dynamic feedbacks on LS and MM estimator accuracy in panel data models
• Maximum likelihood estimation and inference methods for the covariance stationary panel AR(1)/unit root model
• A joint serial correlation test for linear panel data models
• Management of agricultural research centers in Brazil: a DEA application using a dynamic GMM approach
• A test of cross section dependence for a linear dynamic panel model with regressors
• Estimation of heterogeneous autoregressive parameters with short panel data
• GMM estimation and inference in dynamic panel data models with persistent data
• Efficient estimation of dynamic panel data models: Alternative assumptions and simplified estimation
• Are we using the wrong letters? An analysis of executive stock option Greeks
• Income and democracy: a semiparametric approach
• Lessons from a decade of IPS and LLC
• Likelihood-based estimation in a panel setting: robustness, redundancy and validity of copulas
• Estimating multi-way error components models with unbalanced data structures.
• Estimation of cross sectional and panel data censored regression models with endogeneity
• Parameters of interest, nuisance parameters and orthogonality conditions. An application to autoregressive error component models
• Production function estimation with unobserved input price dispersion
• Maximum likelihood estimation of fixed effects dynamic panel data models covering short time periods
• Comparison of forecast performance for homogeneous, heterogeneous and shrinkage estimators: some empirical evidence from US electricity and natural-gas consumption.
• On bias, inconsistency, and efficiency of various estimators in dynamic panel data models
• Asymptotic theory for heterogeneous dynamic pseudo-panels
• Dynamic panels with threshold effect and endogeneity
• GMM Estimation with persistent panel data: an application to production functions
• IV, GMM or likelihood approach to estimate dynamic panel models when either \(N\) or \(T\) or both are large
• RELIABLE INFERENCE FOR GMM ESTIMATORS? FINITE SAMPLE PROPERTIES OF ALTERNATIVE TEST PROCEDURES IN LINEAR PANEL DATA MODELS
• INSTRUMENTAL VARIABLE ESTIMATION IN A DATA RICH ENVIRONMENT
• Semiparametric estimation of partially linear panel data models
• Estimating dynamic panel data models: A guide for macroeconomists
• Evolution of bank efficiency in Brazil: a DEA approach
• Another look at the instrumental variable estimation of error-components models
• Quasi-maximum likelihood estimators for spatial dynamic panel data with fixed effects when both \(n\) and \(T\) are large
• INSTRUMENTAL VARIABLES ESTIMATION WITH PANEL DATA
• Efficient GMM estimation of spatial dynamic panel data models with fixed effects
• Estimating Vector Autoregressions with Panel Data
• Initial conditions and moment restrictions in dynamic panel data models
• A finite sample correction for the variance of linear efficient two-step GMM estimators
• A doubly corrected robust variance estimator for linear GMM
• Efficient estimation of models for dynamic panel data
• Long difference instrumental variables estimation for dynamic panel models with fixed effects
• ASYMPTOTICALLY UNBIASED ESTIMATION OF AUTOCOVARIANCES AND AUTOCORRELATIONS WITH LONG PANEL DATA
• Testing initial conditions in dynamic panel data models
• High-dimensional linear models with many endogenous variables
• The asymptotic properties of the system GMM estimator in dynamic panel data models when both \(N\) and \(T\) are large
• External imbalances and fiscal fragility in the euro area
• Quantile regression for dynamic panel data with fixed effects
• Estimation of long-run inefficiency levels: a dynamic frontier approach
• Bayesian analysis of quantile regression for censored dynamic panel data
• Efficient estimation of panel data models with sequential moment restrictions
• Penalized quantile regression for dynamic panel data
• Empirical likelihood estimation and consistent tests with conditional moment restrictions
• ESTIMATION AND INFERENCE IN SHORT PANEL VECTOR AUTOREGRESSIONS WITH UNIT ROOTS AND COINTEGRATION
• Statistical inference in dynamic panel data models
• A SIMPLE EFFICIENT INSTRUMENTAL VARIABLE ESTIMATOR FOR PANEL AR(p) MODELS WHEN BOTHNANDTARE LARGE
• Bootstrap consistency for quadratic forms of sample averages with increasing dimension
• Consistency of the instrumental weighted variables
• Panel data analysis -- advantages and challenges (with comments and rejoinder)
• Case deletion diagnostics for GMM estimation
• An experimental test of Taylor-type rules with inexperienced central bankers
• The impact of regulation on risk and return
• Testing for serial independence of panel errors
• Financial globalization and the increase in the size of government: are they related?
• Differential tariffs and income inequality in the United States: some evidence from the States
• Multistep forecast selection for panel data
• Does central bank financial strength really matter for inflation? The key role of the fiscal support
• Revisiting the location of FDI in China: a panel data approach with heterogeneous shocks
• Tariff reduction and income inequality: some empirical evidence
• A study on the persistence of Farrell's efficiency measure under a dynamic framework
• Wage flexibility: evidence from five EU countries based on the wage curve.
• Robust estimation and moment selection in dynamic fixed-effects panel data models
• Robust estimation of moments in dynamic panel models with potential intercorrelation
• Median-based estimation of dynamic panel models with fixed effects
• Time-specific average estimation of dynamic panel regressions
• Panel data unit roots tests: the role of serial correlation and the time dimension
• X-differencing and dynamic panel model estimation
• Reserve currencies in an evolving international monetary system
• Algorithm research on the influence of financing structure and cash holding on enterprise innovation based on system GMM model function theory

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