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Robust standard errors in transformed likelihood estimation of dynamic panel data models with cross-sectional heteroskedasticity

Hayakawa, Kazuhiko; Pesaran, M. Hashem - In: Journal of econometrics 188 (2015) 1, pp. 110-134

Persistent link: https://www.econbiz.de/10011500265

Identification problem of GMM estimators for short panel data models with interactive fixed effects

Hayakawa, Kazuhiko - In: Economics letters 139 (2016), pp. 22-26

Persistent link: https://www.econbiz.de/10011615611

Corrected standard errors for optimal minimum distance estimator

Hayakawa, Kazuhiko - In: Economics letters 167 (2018), pp. 5-9

Persistent link: https://www.econbiz.de/10012015748

Further Results on the Weak Instruments Problem of the System GMM Estimator in Dynamic Panel Data Models

Hayakawa, Kazuhiko; Qi, Meng - In: Oxford Bulletin of Economics and Statistics 82 (2019) 2, pp. 453-481

Persistent link: https://www.econbiz.de/10012095531

Examining the Feldstein-Horioka puzzle using common factor panels and interval estimation

Ginama, Isamu; Hayakawa, Kazuhiko; Kanmei, Takahiro - In: Japan and the world economy : international journal of … 48 (2018), pp. 11-21

Persistent link: https://www.econbiz.de/10012102422

Double filter instrumental variable estimation of panel data models with weakly exogenous variables

Hayakawa, Kazuhiko; Qi, Meng; Breitung, Jörg - In: Econometric reviews 38 (2019) 9, pp. 1055-1088

Persistent link: https://www.econbiz.de/10012181383

The role of “leads” in the dynamic OLS estimation of cointegrating regression models

Hayakawa, Kazuhiko; Kurozumi, Eiji - In: Mathematics and Computers in Simulation (MATCOM) 79 (2008) 3, pp. 555-560

In this paper, we consider the role of “leads” of the first difference of integrated variables in the dynamic OLS estimation of cointegrating regression models. Specifically, we investigate Stock and Watson’s [J.H. Stock, M.W. Watson’s, A simple estimator of cointegrating vectors in...

Persistent link: https://www.econbiz.de/10011050846

Asymptotic properties of the efficient estimators for cointegrating regression models with serially dependent errors

Kurozumi, Eiji; Hayakawa, Kazuhiko - In: Journal of Econometrics 149 (2009) 2, pp. 118-135

In this paper, we analytically investigate three efficient estimators for cointegrating regression models: Phillips and Hansen's [Phillips, P.C.B., Hansen, B.E., 1990. Statistical inference in instrumental variables regression with I(1) processes. Review of Economic Studies 57, 99-125] fully...

Persistent link: https://www.econbiz.de/10005022967

On the effect of mean-nonstationarity in dynamic panel data models

Hayakawa, Kazuhiko - In: Journal of Econometrics 153 (2009) 2, pp. 133-135

In this paper, we investigate the effect of mean-nonstationarity on the first-difference generalized method of moments (FD-GMM) estimator in dynamic panel data models. We find that when data is mean-nonstationary and the variance of individual effects is significantly larger than that of...

Persistent link: https://www.econbiz.de/10008493194

Small sample bias properties of the system GMM estimator in dynamic panel data models

Hayakawa, Kazuhiko - In: Economics Letters 95 (2007) 1, pp. 32-38

Persistent link: https://www.econbiz.de/10005355970