Narrow search
Showing 1 - 10 of 1,386
Cover Image
The weak instrument problem of the system GMM estimator in dynamic panel data models
Bun, Maurice; Windmeijer, Frank - 2007
The system GMM estimator for dynamic panel data models combines moment conditions for the model in first differences … model in terms of bias and root mean squared error. However, we show in this paper that in the covariance stationary panel … results are shown in a Monte Carlo study to extend to the panel data system GMM estimator. …
Persistent link: https://www.econbiz.de/10010318586
Cover Image
GM estimation of higher order spatial autoregressive processes in panel data error component models
Badinger, Harald; Egger, Peter - 2008
panel data error component model. We derive moment conditions to estimate the parameters of the higher order spatial …
Persistent link: https://www.econbiz.de/10010264361
Cover Image
GM estimation of higher-order spatial autoregressive processes in cross-section models with heteroskedastic disturbances
Badinger, Harald; Egger, Peter - 2008
This paper generalizes the approach to estimating a first-order spatial autoregressive model with spatial autoregressive disturbances (SARAR(1,1)) in a cross-section with heteroskedastic innovations by Kelejian and Prucha (2008) to the case of spatial autoregressive models with spatial...
Persistent link: https://www.econbiz.de/10010264403
Cover Image
Estimation of higher-order spatial autoregressive panel data error component models
Badinger, Harald; Egger, Peter - 2009
This paper develops an estimator for higher-order spatial autoregressive panel data error component models with spatial …
Persistent link: https://www.econbiz.de/10010264566
Cover Image
Almost Consistent Estimation of Panel Probit Models with 'Small' Fixed Effects
Lechner, Michael; Laisney, François - 2002
We propose four different GMM estimators that allow almost consistent estimation of the structural parameters of panel …
Persistent link: https://www.econbiz.de/10010297847
Cover Image
Robust estimation and inference in panels with interactive fixed effects
Armstrong, Timothy B.; Weidner, Martin; Zeleneev, Andrei - 2023
We consider estimation and inference for a regression coefficient in panels with interactive fixed effects (i.e., with a factor structure). We show that previously developed estimators and confidence intervals (CIs) might be heavily biased and size-distorted when some of the factors are weak. We...
Persistent link: https://www.econbiz.de/10014480692
Cover Image
Stochastic frontier analysis by means of maximum likelihood and the method of moments
Behr, Andreas; Tente, Sebastian - 2008
The stochastic frontier analysis (Aigner et al., 1977, Meeusen and van de Broeck, 1977) is widely used to estimate individual efficiency scores. The basic idea lies in the introduction of an additive error term consisting of a noise and an inefficiency term. Most often the assumption of a...
Persistent link: https://www.econbiz.de/10010298775
Cover Image
Moment conditions for dynamic panel logit models with fixed effects
Honoré, Bo E.; Weidner, Martin - 2022
This paper investigates the construction of moment conditions in discrete choice panel data with individual specific …
Persistent link: https://www.econbiz.de/10014302514
Cover Image
'Natural' disaster, conflict and aid allocation
Rodella-Boitreaud, Aude-Sophie; Wagner, Natascha - 2011
conflict and disaster. We exploit a large panel dataset that includes official development aid, and information about the …
Persistent link: https://www.econbiz.de/10010316737
Cover Image
Expend, a Gauss programme for non-linear GMM estimation of exponential models with endogenous regressors for cross section and panel data
Windmeijer, Frank - 2002
endogenous regressors for cross section and panel data. The estimators included in this package are simple Poisson pseudo ML; GMM … Poisson for panel data; GMM estimation using quasi-differenced moment conditions eliminating unobserved heterogeneity and …
Persistent link: https://www.econbiz.de/10010318531