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This paper extends the transformed maximum likelihood approach for estimation of dynamic panel data models by Hsiao …
Persistent link: https://www.econbiz.de/10010282268
This paper extends the transformed maximum likelihood approach for estimation of dynamic panel data models by Hsiao …
Persistent link: https://www.econbiz.de/10010283629
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
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 to extend to the panel data GMM estimators. …
Persistent link: https://www.econbiz.de/10010325667
The well-known problem of too many instruments in dynamic panel data GMM is dealt with in detail in Roodman (2009 …
Persistent link: https://www.econbiz.de/10010300222
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
This paper develops an estimator for higher-order spatial autoregressive panel data error component models with spatial …
Persistent link: https://www.econbiz.de/10010264566
We compare the finite sample performance of a range of tests of linear restrictions for linear panel data models … recently been proposed. We consider both the AR(1) panel model, and a design with predetermined regressors. The corrected two …
Persistent link: https://www.econbiz.de/10010318546
restristions for standard GMM estimators in autoregressive panel data models. A comparison is made with recent test proposals based …
Persistent link: https://www.econbiz.de/10010293028
This paper presents a new approach to estimation and inference in panel data models with a multifactor error structure …
Persistent link: https://www.econbiz.de/10010276157