Statistical inference for panel dynamic simultaneous equations models

DOI10.1016/J.JECONOM.2015.03.031zbMATH Open1337.62371OpenAlexW2044296627MaRDI QIDQ888331FDOQ888331

Qiankun Zhou, Cheng Hsiao

Publication date: 30 October 2015

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2015.03.031

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zbMATH Keywords

instrumental variablemaximum likelihoodgeneralized method of momentsmulti-dimensional asymptoticspanel dynamic simultaneous equations

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) Estimation in multivariate analysis (62H12)

Cites Work

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• ESTIMATION AND INFERENCE IN SHORT PANEL VECTOR AUTOREGRESSIONS WITH UNIT ROOTS AND COINTEGRATION
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Cited In (22)

• Statistical inference in dynamic panel data models
• PANEL DATA MODELS WITH FINITE NUMBER OF MULTIPLE EQUILIBRIA
• Incidental parameters, initial conditions and sample size in statistical inference for dynamic panel data models
• First difference transformation in panel VAR models: Robustness, estimation, and inference
• A Computationally Practical Simulation Estimator for Panel Data
• Indirect inference estimation of dynamic panel data models
• The econometrics of multi-dimensional panels. Theory and applications
• A Note on Dynamic Modelling from Short and Heterogeneous Pseudo Panels
• Title not available (Why is that?)
• Estimation of dynamic panel data models with both individual and time-specific effects
• First difference or forward demeaning: Implications for the method of moments estimators
• Frontiers in time series and financial econometrics: an overview
• Parametric Inference and Dynamic State Recovery From Option Panels
• SIMULTANEOUS EQUATIONS WITH INCOMPLETE PANELS
• Estimation of fixed effects dynamic panel data models: linear differencing or conditional expectation
• Panel experiments and dynamic causal effects: A finite population perspective
• Panel models with interactive effects
• An incidental parameters free inference approach for panels with common shocks
• JIVE FOR PANEL DYNAMIC SIMULTANEOUS EQUATIONS MODELS
• The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators
• Challenges for Panel Financial Analysis
• Indirect inference approach to estimating dynamic panel data models with irregular spacing

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