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Instrumental variable estimation is central to econometric analysis and has justifiably been receiving considerable and consistent attention in the literature in the past. Recent developments have focused on cases where instruments are either weak, in terms of correlations with the endogenous...
Persistent link: https://www.econbiz.de/10010284172
This paper proposes and discusses an instrumental variable estimator that can be of particular relevance when many instruments are available. Intuition and recent work (see, e.g., Hahn (2002)) suggest that parsimonious devices used in the construction of the final instruments, may provide...
Persistent link: https://www.econbiz.de/10010284174
The finite sample behaviour is analysed of particular least squares (LS) andmethod of moments (MM) estimators in panel … of bias of (generalized) MMestimators tends to increase with the number of moment conditions exploited. Forvarious … feedbacks none of the techniques examined dominates. However, asimple bias corrected LS estimator which presupposes strict …
Persistent link: https://www.econbiz.de/10010325057
We propose four different GMM estimators that allow almost consistent estimation of the structural parameters of panel …. The estimators differ w.r.t. the choice of instruments and whether they use trimming to reduce the bias or not. In a Monte …
Persistent link: https://www.econbiz.de/10010297847
model in terms of bias and root mean squared error. However, we show in this paper that in the covariance stationary panel …The system GMM estimator for dynamic panel data models combines moment conditions for the model in first differences … results are shown in a Monte Carlo study to extend to the panel data system GMM estimator. …
Persistent link: https://www.econbiz.de/10010318586
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
Estimation of polynomial regression equations in one error-ridden variable and a number of error-free regressors, as well as an instrument set for the former is considered. Procedures for identification, operating on moments up to a certain order, are elaborated for single- and multi-equation...
Persistent link: https://www.econbiz.de/10011694188
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
The well-known problem of too many instruments in dynamic panel data GMM is dealt with in detail in Roodman (2009 … simulations show that this new estimation technique outperforms other possible transformations by having a lower bias and RMSE as …
Persistent link: https://www.econbiz.de/10010299478