Statistical inference for panel dynamic simultaneous equations models

DOI10.1016/J.JECONOM.2015.03.031MaRDI QIDQ888331zbMATH OpenOpenAlexFDO

Authors Cheng Hsiao, Qiankun Zhou

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

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)

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Cited in

(25)

• Statistical inference in dynamic panel data models
• A Computationally Practical Simulation Estimator for Panel Data
• Panel experiments and dynamic causal effects: A finite population perspective
• A Note on Dynamic Modelling from Short and Heterogeneous Pseudo Panels
• SIMULTANEOUS EQUATIONS WITH INCOMPLETE PANELS
• Frontiers in time series and financial econometrics: an overview
• Some properties of the LIML estimator in a dynamic panel structural equation
• scientific article; zbMATH DE number 2096673 (Why is no real title available?)
• PANEL DATA MODELS WITH FINITE NUMBER OF MULTIPLE EQUILIBRIA
• Jive for panel dynamic simultaneous equations models
• Indirect inference estimation of dynamic panel data models
• First difference transformation in panel VAR models: robustness, estimation, and inference
• Parametric Inference and Dynamic State Recovery From Option Panels
• Estimation of fixed effects dynamic panel data models: linear differencing or conditional expectation
• Indirect inference approach to estimating dynamic panel data models with irregular spacing
• The limited information maximum likelihood approach to dynamic panel structural equation models
• The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators
• First difference or forward demeaning: Implications for the method of moments estimators
• An incidental parameters free inference approach for panels with common shocks
• Panel models with interactive effects
• Panel structural modeling with weak instrumentation and covariance restrictions
• Challenges for panel financial analysis
• Incidental parameters, initial conditions and sample size in statistical inference for dynamic panel data models
• Estimation of dynamic panel data models with both individual and time-specific effects
• The econometrics of multi-dimensional panels. Theory and applications

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