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Estimation in dynamic panel data models: Improving on the performance of the standard GMM estimator

Blundell, Richard W.; Bond, Stephen; Windmeijer, Frank - In: Nonstationary panels, panel cointegration, and dynamic …, (pp. 53-91). 2001

This chapter reviews developments to improve on the poor performance of the standard GMM estimator for highly autoregressive panel series. It considers the use of the ‘system’ GMM estimator that relies on relatively mild restrictions on the initial condition process. This system GMM...

Persistent link: https://www.econbiz.de/10015390078

Two-stage least squares as minimum distance

Windmeijer, Frank - In: The econometrics journal 22 (2019) 1, pp. 1-9

Persistent link: https://www.econbiz.de/10012166646

Testing underidentification in linear models, with applications to dynamic panel and asset pricing models

Windmeijer, Frank - In: Journal of econometrics 240 (2024) 2, pp. 1-15

Persistent link: https://www.econbiz.de/10015075096

The confidence interval method for selecting valid instrumental variables

Windmeijer, Frank; Liang, Xiaoran; Hartwig, Fernando P.; … - In: Journal of the Royal Statistical Society: Series B … 83 (2021) 4, pp. 752-776

Persistent link: https://www.econbiz.de/10012637000

On the power of the conditional likelihood ratio and related tests for weak-instrument robust inference

Van de Sijpe, Nicolas; Windmeijer, Frank - In: Journal of econometrics 235 (2023) 1, pp. 82-104

Persistent link: https://www.econbiz.de/10014434384

Did ‘targets and terror’ reduce waiting times in England for hospital care?

Propper, Carol; Sutton, Matt; Whitnall, Carolyn; … - In: The B.E. journal of economic analysis & policy 8 (2008) 2, pp. 1-25

Persistent link: https://www.econbiz.de/10009549138

Testing competing models for non-negative data with many zeros

Silva, João Santos; Tenreyro, Silvana; Windmeijer, Frank - In: Journal of econometric methods 4 (2015) 1, pp. 29-46

Persistent link: https://www.econbiz.de/10011864982

Robust inference for the Two-Sample 2SLS estimator

Pacini, David; Windmeijer, Frank - In: Economics letters 146 (2016), pp. 50-54

Persistent link: https://www.econbiz.de/10011619048

Genetic markers as instrumental variables

Hinke Kessler Scholder, Stephanie von; Smith, George Davey - In: Journal of health economics 45 (2016), pp. 131-148

Persistent link: https://www.econbiz.de/10011579994

How to sell a condom? : the impact of demand creation tools on male and female condom sales in resource limited settings

Terris-Prestholt, Fern; Windmeijer, Frank - In: Journal of health economics 48 (2016), pp. 107-120

Persistent link: https://www.econbiz.de/10011587161

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