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Generalized Moments Estimation for Panel Data

Druska, Viliam; Horrace, William C. - 2021

This paper considers estimation of a panel data model with disturbances that are autocorrelated across cross … estimate spatial dependence parameters. For the case where the time dimension is small (the usual panel data case), we develop … Kelejian and Prucha. We apply this approach in a stochastic frontier framework to a panel of Indonesian rice farms where …

Persistent link: https://www.econbiz.de/10013232767

Asymptotics for GMM Estimators with Weak Instruments

Stock, James H.; Wright, Jonathan H. - 2022

This paper develops asymptotic distribution theory for generalized method of moments (GMM) estimators and test statistics when some of the parameters are well identified, but others are poorly identified because of weak instruments. The asymptotic theory entails applying empirical process theory...

Persistent link: https://www.econbiz.de/10014158848

Small Sample Properties of Generalized Method of Moments Based Wald Tests

Burnside, Craig; Eichenbaum, Martin S. - 2021

This paper assesses the small sample properties of Generalized Method of Moments (GMM) based Wald statistics. The analysis is conducted assuming that the data generating process corresponds to (i) a simple vector white noise process and (ii) an equilibrium business cycle model. Our key findings...

Persistent link: https://www.econbiz.de/10013224900

Using Samples of Unequal Length in Generalized Method of Moments Estimation

Lynch, Anthony W. - 2008

Many applications in financial economics use data series with different starting or ending dates. This paper describes estimation methods, based on the generalized method of moments (GMM), which make use of all available data for each moment condition. We introduce two asymptotically equivalent...

Persistent link: https://www.econbiz.de/10012769647

Small Sample Bias in GMM Estimation of Covariance Structures

Altonji, Joseph G.; Segal, Lewis M. - 2022

We examine the small sample properties of the GMM estimator for models of covariance structures, where the technique is often referred to as the optimal minimum distance (OMD) estimator. We present a variety of Monte Carlo experiments based on simulated data and on the data used by Abowd and...

Persistent link: https://www.econbiz.de/10013312527

Measuring the Sensitivity of Parameter Estimates to Estimation Moments

Gentzkow, Matthew Aaron - 2015

We propose a local measure of the relationship between parameter estimates and the moments of the data they depend on. Our measure can be computed at negligible cost even for complex structural models. We argue that reporting this measure can increase the transparency of structural estimates,...

Persistent link: https://www.econbiz.de/10013031825

Aggregation Effects and Panel Data Estimation Problems : An Investigationof the R&D Intensity Decision

Pakes, Ariel - 2002

This paper considers why the determinants of the inter- and intra-industry variance in R&D intensity in U.S. manufacturing differ markedly even though response parameters are similar across industries. A similar aggregation effect is noted by Grunfeld and Griliches (1960), and this paper gives...

Persistent link: https://www.econbiz.de/10014135788