First difference transformation in panel VAR models: robustness, estimation, and inference

DOI10.1080/07474938.2016.1139559MaRDI QIDQ5862491zbMATH OpenOpenAlexFDO

Authors Artūras Juodis

Publication date 9 March 2022

Published in Econometric Reviews (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.1080/07474938.2016.1139559

zbMATH Keywords

bias correctiondynamic panel datafixed \(T\) consistencymaximum likelihoodMonte Carlo simulation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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Cites work

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• Another look at the instrumental variable estimation of error-components models
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• Biases in Dynamic Models with Fixed Effects
• Determinants of block tridiagonal matrices
• Efficient estimation of dynamic panel data models: Alternative assumptions and simplified estimation
• Efficient estimation of models for dynamic panel data
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• First difference maximum likelihood and dynamic panel estimation
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• Panel Data Econometrics
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• Some properties of the LIML estimator in a dynamic panel structural equation
• Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations
• Statistical inference for panel dynamic simultaneous equations models
• The effects of dynamic feedbacks on LS and MM estimator accuracy in panel data models
• The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators
• The weak instrument problem of the system GMM estimator in dynamic panel data models

Cited in

(2)

• Backward mean transformation in unit root panel data models
• Quantifying noise in survey expectations

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