Regularized estimation of dynamic panel models
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Cites work
- scientific article; zbMATH DE number 430432 (Why is no real title available?)
- A SIMPLE EFFICIENT INSTRUMENTAL VARIABLE ESTIMATOR FOR PANEL AR(p) MODELS WHEN BOTHNANDTARE LARGE
- A regularization approach to the many instruments problem
- Another look at the instrumental variable estimation of error-components models
- Asymptotic optimality for \(C_ p\), \(C_ L\), cross-validation and generalized cross-validation: Discrete index set
- Asymptotic optimality of \(C_ L\) and generalized cross-validation in ridge regression with application to spline smoothing
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- Choosing the Number of Instruments
- Constructing optimal instruments by first-stage prediction averaging
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- Efficient estimation of general dynamic models with a continuum of moment conditions
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- GMM estimators with improved finite sample properties using principal components of the weighting matrix, with an application to the dynamic panel data model
- Initial conditions and moment restrictions in dynamic panel data models
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- Jive for panel dynamic simultaneous equations models
- Kernel-weighted GMM estimators for linear time series models
- Least Squares Model Averaging
- Linear integral equations.
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- Regularized LIML for many instruments
- Semiparametric Bayesian Inference in Autoregressive Panel Data Models
- Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations
- Sparse models and methods for optimal instruments with an application to eminent domain
- The Bias and Moment Matrix of the General k-Class Estimators of the Parameters in Simultaneous Equations
- The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators
- The effects of dynamic feedbacks on LS and MM estimator accuracy in panel data models
- The optimal choice of moments in dynamic panel data models
- The weak instrument problem of the system GMM estimator in dynamic panel data models
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