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Alternative GMM methods for nonlinear panel data models

Breitung, Jörg; Lechner, Michael - 1998

Persistent link: https://www.econbiz.de/10000996772

The tradability premium on the S&P 500 Index

Gouriéroux, Christian; Jasiak, Joann; Xu, Peng - In: Journal of financial econometrics : official journal of … 14 (2016) 3, pp. 461-495

Persistent link: https://www.econbiz.de/10011623634

Efficiency in large dynamic panel models with common factors

Gagliardini, Patrick; Gouriéroux, Christian - In: Econometric theory 30 (2014) 5, pp. 961-1020

Persistent link: https://www.econbiz.de/10010502133

Identification by Laplace transforms in nonlinear time series and panel models with unobserved stochastic dynamic effects

Gagliardini, Patrick; Gouriéroux, Christian - In: Journal of econometrics 208 (2019) 2, pp. 613-637

Persistent link: https://www.econbiz.de/10012149372

Almost consistent estimation of panel probit models with "small" fixed effects

Laisney, François; Lechner, Michael - 2002

We propose four different GMM estimators that allow almost consistent estimation of the structural parameters of panel probit models with fixed effects for the case of small T and large N. The moments used are derived for each period from a first order approximation of the mean of the dependent...

Persistent link: https://www.econbiz.de/10011447728