Sequential and efficient GMM estimation of dynamic short panel data models
From MaRDI portal
Publication:5862518
DOI10.1080/07474938.2021.1889178zbMath1490.62453OpenAlexW3187189938MaRDI QIDQ5862518
Lung-fei Lee, Jihai Yu, Fei Jin
Publication date: 9 March 2022
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07474938.2021.1889178
Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Related Items (1)
Cites Work
- Unnamed Item
- Unnamed Item
- Initial conditions and moment restrictions in dynamic panel data models
- Another look at the instrumental variable estimation of error-components models
- The effects of dynamic feedbacks on LS and MM estimator accuracy in panel data models
- GMM estimation of spatial autoregressive models with unknown heteroskedasticity
- Parameters of interest, nuisance parameters and orthogonality conditions. An application to autoregressive error component models
- Maximum likelihood estimation of fixed effects dynamic panel data models covering short time periods
- Biases in Dynamic Models with Fixed Effects
- Estimation of Dynamic Models with Error Components
- Alternative Approximations to the Distributions of Instrumental Variable Estimators
- Choosing the Number of Instruments
- Initial conditions of dynamic panel data models: on within and between equations
- GMM with Many Moment Conditions
- Consistent Estimation with a Large Number of 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
- Generalized Least Squares with an Estimated Variance Covariance Matrix
- Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations
This page was built for publication: Sequential and efficient GMM estimation of dynamic short panel data models
