In this paper we examine the properties of a simple criterion-based, likelihood ratio type test of parameter restristions for standard GMM estimators in autoregressive panel data models. A comparison is made with recent test proposals based in the continuously-updated GMM criterion (Hansen,...

less skilled workers has deteriorated, either through their ability to secure jobs and/or their ability to earn a decent wage. Some have linked this decline to modern computing technologies. This paper surveys the evidence on the effects of technical change on skills, wages and employment by...

The system GMM estimator in dynamic panel data models combines moment conditions for hte differenced equation with moment conditions for the model in levels. An initial optimal weight matrix under homoscedasticity and non-serial correlation is not known for this estimation procedure. It is...

The generalized method of moments (GMM) estimation technique is discussed for count data models with endogenous regressors. Count data models can be specified with additive or multiplicative errors and it is shown that, in general, a set of instruments is not orthogonal to both error types....

Moment conditions are derived for dynamic linear panel data models with linear individual specific effects in the mean and multiplicative individual effects in the conditional ARCH type variance function. The relation and correlation between the linear and multiplicative effects are...

Does money matter? When investigating health behaviour, research often finds a strong positive association between income and healthy behaviour. This could however be due to individual characteristics that determine both income and health investment and is not necessarily due to the role of...

We report an empirical analysis of the responses of the supply and demand for secondary care to waiting list size and waiting times. Whereas previous empirical analyses have used data aggregated to area level, our analysis is novel in that it focuses on the supply responses of a single hospital...

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 estimator...

In this paper we examine the panel data estimation of dynamic models for count data that include correlated fixed effects and predetermined variables.

Monte Carlo studies have shown that estimated asymptotic standard errors of the efficient two-step generalised method of moments (GMM) estimator can be severely downward biased in small samples. The weight matrix used in the calculation of the efficient two-step GMM estimator is based on initial...