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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 - 2000

Persistent link: https://www.econbiz.de/10001483382

Criterion-based inference for GMM in autoregressive panel data models

Bond, Stephen (contributor); Bowsher, Clive (contributor); … - 2001 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001545011

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). 2000

Persistent link: https://www.econbiz.de/10001583116

Finite sample inference for GMM estimators in linear panel data models

Bond, Stephen (contributor); Windmeijer, Frank (contributor) - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001748246

Projection estimators for autoregressive panel data models

Bond, Stephen; Windmeijer, Frank - In: The econometrics journal 5 (2002) 2, pp. 457-479

Persistent link: https://www.econbiz.de/10001713321

Reliable inference for GMM estimators? : Finite sample properties of alternative test procedures in linear panel data models

Bond, Stephen; Windmeijer, Frank - In: Econometric reviews 24 (2005) 1, pp. 1-37

Persistent link: https://www.econbiz.de/10002655586

Unit roots : identification and testing in micro panels

Bond, Stephen (contributor); Nauges, Céline (contributor); … - 2005

Persistent link: https://www.econbiz.de/10002996750

Finite Sample Inference for GMM Estimators in Linear Panel Data Models

Bond, Stephen; Windmeijer, Frank - 2002

We compare the finite sample performance of a range of tests of linear restrictions for linear panel data models estimated using Generalised Method of Moments (GMM). These include standard asymptotic Wald tests based on one-step and two-step GMM estimators; two bootstrapped versions of these...

Persistent link: https://www.econbiz.de/10014116826

Criterion-based inference for GMM in autoregressive panel data models

Bond, Stephen; Bowsher, Clive; Windmeijer, Frank - In: Economics letters 73 (2001) 3, pp. 379-388

Persistent link: https://www.econbiz.de/10001635106

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

Blundell, Richard W.; Bond, Stephen; Windmeijer, Frank - 2000

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...

Persistent link: https://www.econbiz.de/10011537713