Another look at the instrumental variable estimation of error-components models

DOI10.1016/0304-4076(94)01642-DzbMATH Open0831.62099MaRDI QIDQ98310FDOQ98310

Olympia Bover, Manuel Arellano, Olympia Bover, Manuel Arellano

Publication date: July 1995

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

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efficient IV estimators of random effects models orthogonal deviations orthogonality panel data models predetermined instrumental variables transformations unit roots unrestricted covariance matrix

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12)

Cites Work

Large Sample Properties of Generalized Method of Moments Estimators
Multivariate regression models for panel data
Formulation and estimation of dynamic models using panel data
Asymptotic efficiency in estimation with conditional moment restrictions
Instrumental-Variable Estimation of an Error-Components Model
Nearly Efficient Estimation of Time Series Models with Predetermined, but not Exogenous, Instruments
Efficient Estimation Using Panel Data
Instrumental Variables Regression with Independent Observations
Estimating Dynamic Random Effects Models from Panel Data Covering Short Time Periods
Panel Data and Unobservable Individual Effects
Efficiency Bounds for Semiparametric Regression
Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations
Estimating Vector Autoregressions with Panel Data
Efficient estimation of models for dynamic panel data

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

Many IVs estimation of dynamic panel regression models with measurement error
Semiparametric Estimation of Partially Varying-Coefficient Dynamic Panel Data Models
X-DIFFERENCING AND DYNAMIC PANEL MODEL ESTIMATION
On the testing of correlated effects with panel data
A SIMPLE EFFICIENT INSTRUMENTAL VARIABLE ESTIMATOR FOR PANEL AR(p) MODELS WHEN BOTHNANDTARE LARGE
Asymmetric peer effects in capital structure dynamics
Consistency of the instrumental weighted variables
Panel data analysis -- advantages and challenges (with comments and rejoinder)
Case deletion diagnostics for GMM estimation
Indirect inference estimation of dynamic panel data models
An incentive-compatible solution for trade credit term incorporating default risk
The impact of regulation on risk and return
Panel Data With Measurement Errors: Instrumental Variables And Gmm Procedures Combining Levels And Differences
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
First difference or forward demeaning: Implications for the method of moments estimators
Civil liberties and terrorism in Middle East, North Africa, Afghanistan, and Pakistan
Detection of structural breaks in linear dynamic panel data models
Tariff reduction and income inequality: some empirical evidence
Revisiting the link between financial development and industrialization: evidence from low and middle income countries
A study on the persistence of Farrell's efficiency measure under a dynamic framework
Panel data unit roots tests: the role of serial correlation and the time dimension
Some properties of the LIML estimator in a dynamic panel structural equation
Improved GMM estimation of panel VAR models
Statistical inference for panel dynamic simultaneous equations models
Does the profile of income inequality matter for economic growth?
Neighbourhood GMM estimation of dynamic panel data models
Semiparametric GMM estimation and variable selection in dynamic panel data models with fixed effects
Testing for unit roots in panel data using a GMM approach
Corrected standard errors for optimal minimum distance estimator
A quantile correlated random coefficients panel data model
How do epidemics induce behavioral changes?
Robust Inference for Near-Unit Root Processes with Time-Varying Error Variances
Exponential class of dynamic binary choice panel data models with fixed effects
Investment decisions with financial constraints. Evidence from Spanish firms
Does income support increase abortions?
Bank credit and economic growth: short-run evidence from a dynamic threshold panel model
IV estimation of panels with factor residuals
Robust standard errors in transformed likelihood estimation of dynamic panel data models with cross-sectional heteroskedasticity
Comment on `IV estimation of panels with factor residuals' by D. Robertson and V. Sarafidis
Feedback in panel data models
Estimation of dynamic mixed double factors model in high-dimensional panel data
A double-hurdle rational addiction model with heterogeneity: Estimating the demand for tobacco
On the effect of mean-nonstationarity in dynamic panel data models
Robust likelihood estimation of dynamic panel data models
The limited information maximum likelihood approach to dynamic panel structural equation models
Unit root test for short panels with serially correlated errors
A Monte Carlo study of growth regressions
Local influence analysis for GMM estimation
Innovation and employment: Evidence from Italian microdata
Changes in relative wages in the 1980s: Returns to observed and unobserved skills and black-white wage differentials
Estimation of nonlinear dynamic panel data models with individual effects
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
GMM ESTIMATION AND INFERENCE IN DYNAMIC PANEL DATA MODELS WITH PERSISTENT DATA
GMM estimators with improved finite sample properties using principal components of the weighting matrix, with an application to the dynamic panel data model
Indirect inference for dynamic panel models
Bias-corrected estimation in dynamic panel data models with heteroscedasticity
Binary choice panel data models with predetermined variables
Threshold effects of human capital: schooling and economic growth
Semiparametric efficient estimation of dynamic panel data models
Testing serial correlation in semiparametric panel data models
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
The optimal choice of moments in dynamic panel data models
Estimating dynamic models from time series of independent cross-sections
Stochastic panel frontiers: A semiparametric approach
Estimation of dynamic panel data models with both individual and time-specific effects
Reprint of: Initial conditions and moment restrictions in dynamic panel data models
Panel AR(1) estimators under misspecification
Small sample bias properties of the system GMM estimator in dynamic panel data models
The effects of dynamic feedbacks on LS and MM estimator accuracy in panel data models
Semiparametric-efficient estimation of AR(1) 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
Instrumental-Variable Estimation of an Error-Components Model
Inequality and growth: the neglected time dimension
Efficient estimation of dynamic panel data models: Alternative assumptions and simplified estimation
ADAPTIVE GMM SHRINKAGE ESTIMATION WITH CONSISTENT MOMENT SELECTION
Income and democracy: a semiparametric approach
Nonparametric identification of discrete choice models with lagged dependent variables
Estimating multi-way error components models with unbalanced data structures.
Nonstationary panel data analysis: an overview of some recent developments
Identification and \(\sqrt N\)-consistent estimation of a nonlinear panel data model with correlated unobserved effects
Identification and estimation of nonlinear dynamic panel data models with unobserved covariates
The behaviour of the maximum likelihood estimator of limited dependent variable models in the presence of fixed effects
Pooled estimators vs. their heterogeneous counterparts in the context of dynamic demand for gasoline
On the effect of weighting matrix in GMM specification test
An alternative identification of nonlinear dynamic panel data models with unobserved covariates
Efficient estimation and variable selection in dynamic panel data partially linear varying coefficient models with incidental parameter
Cross-Sectional Dependence in Panel Data Analysis
Maximum likelihood estimation of fixed effects dynamic panel data models covering short time periods
Estimation of fixed effects dynamic panel data models: linear differencing or conditional expectation
Brain drain and income distribution
Parameters measuring bank risk and their estimation
GMM ESTIMATION FOR DYNAMIC PANELS WITH FIXED EFFECTS AND STRONG INSTRUMENTS AT UNITY

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