A finite sample correction for the variance of linear efficient two-step GMM estimators
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Publication:98312
DOI10.1016/J.JECONOM.2004.02.005zbMATH Open1334.62136OpenAlexW2988039629WikidataQ63353173 ScholiaQ63353173MaRDI QIDQ98312FDOQ98312
Authors: Frank A. G. Windmeijer, Frank Windmeijer 
Publication date: May 2005
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2004.02.005
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- Globalisation, welfare models and social expenditure in OECD countries
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- Robust standard errors in transformed likelihood estimation of dynamic panel data models with cross-sectional heteroskedasticity
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- Half-panel jackknife estimation for dynamic panel models
- A doubly corrected robust variance estimator for linear GMM
- Exploiting information from singletons in panel data analysis: a GMM approach
- Sieve semiparametric two-step GMM under weak dependence
- Finite-sample refinement of GMM approach to nonlinear models under heteroskedasticity of unknown form
- Testing initial conditions in dynamic panel data models
- Asymptotic refinements of a misspecification-robust bootstrap for GEL estimators
- To whom does outward FDI give jobs?
- Bootstrap-based bias correction for dynamic panels
- Small Sample Bias of Alternative Estimation Methods for Moment Condition Models: Monte Carlo Evidence for Covariance Structures
- A Monte Carlo study of growth regressions
- Finite-sample corrected inference for two-step GMM in time series
- Initial conditions and Blundell-Bond estimators
- A bias-corrected covariance estimator for improved inference when using an unstructured correlation with quadratic inference functions
- Exchange rate volatility and productivity growth: the role of liability dollarization
- pdynmc
- Estimation of nonlinear dynamic panel data models with individual effects
- Quasi ML estimation of the panel AR(1) model with arbitrary initial conditions
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