Residual-based IV estimation of dynamic panel data models with fixed effects

DOI10.1111/J.1467-9574.2012.00536.XMaRDI QIDQ6552748zbMATH OpenFDO

Authors Zhuangxiong Yu, Meijin Wang, Peng Wang

Publication date 10 June 2024

Published in Statistica Neerlandica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/J.1467-9574.2012.00536.X

zbMATH Keywords

dynamic panel modelsresidual-based IV estimatorsystem-GMM estimator

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)

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Cites work

• Alternative Approximations to the Distributions of Instrumental Variable Estimators
• Another look at the instrumental variable estimation of error-components models
• Asymptotically Unbiased Inference for a Dynamic Panel Model with Fixed Effects when Both n and T Are Large
• Biases in Dynamic Models with Fixed Effects
• Estimation of Dynamic Models with Error Components
• Exponential regression of dynamic panel data models.
• Initial conditions and moment restrictions in dynamic panel data models
• Instrumental Variables Regression with Weak Instruments
• Maximum likelihood estimation and inference methods for the covariance stationary panel AR(1)/unit root model
• Maximum likelihood estimation of fixed effects dynamic panel data models covering short time periods
• On bias, inconsistency, and efficiency of various estimators in dynamic panel data models
• Small sample bias properties of the system GMM estimator in dynamic panel data models
• Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations
• The effects of dynamic feedbacks on LS and MM estimator accuracy in panel data models
• The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators

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