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Criterion-based inference for GMM in autoregressive panel data models
Bond, Stephen; Bowsher, Clive; Windmeijer, Frank - 2001
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
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Accuracy and efficiency of various GMM inference techniques in dynamic micro panel data models
Kiviet, J. F.; Pleus, Milan; Poldermans, Rutger - 2015
-Bond GMM estimation techniques for single dynamic panel data models with possibly endogenous regressors and cross …
Persistent link: https://www.econbiz.de/10010476668
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Accuracy and efficiency of various GMM inference techniques in dynamic micro panel data models
Kiviet, J. F.; Pleus, Milan; Poldermans, Rutger - In: Econometrics : open access journal 5 (2017) 1, pp. 1-54
panel data models are growing exponentially in number. However, for researchers it is hard to make a reasoned choice between …
Persistent link: https://www.econbiz.de/10011654182
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Testing for a Structural Break in Dynamic Panel Data Models with Common Factors
Zhu, Huanjun - 2015
This paper develops a method for testing for the presence of a single structural break in panel data models with …
Persistent link: https://www.econbiz.de/10013014830
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Criterion-Based Inference for GMM in Autoregressive Panel Data Models
Windmeijer, Frank; Bond, Stephen; Bowsher, Clive G. - 2001
restrictions for standard GMM estimators in autoregressive panel data models. A comparison is made with recent test proposals based …
Persistent link: https://www.econbiz.de/10014133628
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Consistent Model and Moment Selection Criteria for GMM Estimation with Application to Dynamic Panel Data Models
Andrews, Donald W. K.; Lu, Biao - 2000
model and moment selection criteria to dynamic panel data models with unobserved individual effects. The paper shows how to …
Persistent link: https://www.econbiz.de/10014164952
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Reliable Inference for GMM Estimators? Finite Sample Properties of Alternative Test Procedures in Linear Panel Data Models
Bond, Stephen; Windmeijer, Frank - 2005
We compare the finite sample performance of a range of tests of linear restrictions for linear panel data models … have recently been proposed. We consider both the AR(1) panel model, and a design with predetermined regressors. The …
Persistent link: https://www.econbiz.de/10014064498
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Testing Endogeneity of Spatial Weights Matrices in Spatial Dynamic Panel Data Models
Lee, Jieun - 2022
dynamic panel data (SDPD) model (Qu, Lee, and Yu, 2017). I firstly introduce the bias-corrected score function since the score …
Persistent link: https://www.econbiz.de/10013491649
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Inference for Iterated GMM Under Misspecification and Clustering
Hansen, Bruce E.; Lee, Seojeong - 2019
This paper develops a new distribution theory and inference methods for over-identified Generalized Method of Moments (GMM) estimation focusing on the iterated GMM estimator, allowing for moment misspecification, and for clustered dependence with heterogeneous and growing cluster sizes. This...
Persistent link: https://www.econbiz.de/10014033687
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A Doubly Corrected Robust Variance Estimator for Linear GMM
Hwang, Jungbin - 2019
We propose a new finite sample corrected variance estimator for the linear generalized method of moments (GMM) including the one-step, two-step, and iterated estimators. Our formula additionally corrects for the over-identification bias in variance estimation on top of the commonly used finite...
Persistent link: https://www.econbiz.de/10012863983