Monte Carlo studies have shown that estimated asymptotic standard errors of the efficient two-step generalised method of moments (GMM) estimator can be severely downward biased in small samples. The weight matrix used in the calculation of the efficient two-step GMM estimator is based on initial...

Monte Carlo studies have shown that estimated asymptotic standard errors of the efficient two-step generalised method of moments (GMM) estimator can be severely downward biased in small samples. The weight matrix used in the calculation of the efficient two-step GMM estimator is based on initial...

This paper contributes to the GMM literature by introducing the idea of self-instrumenting target variables instead of searching for instruments that are uncorrelated with the errors, in cases where the correlation between the target variables and the errors can be derived. The advantage of the...

This paper, using the Bewley (1979) transformation of the autoregressive distributed lag model, proposes a novel pooled Bewley (PB) estimator of long-run coefficients for dynamic panels with heterogeneous short-run dynamics, in the same setting as the widely used Pooled Mean Group (PMG)...

This paper develops an instrumental variable (IV) estimator for consistent estimation of dynamic panel data models with a multifactor error structure when both N and T, the cross-sectional and time series dimensions respectively, are large. Our approach projects out the common factors from...

A common practice in estimating parameters in DSGE models is to Önd a set that when simulated gets close to an average of certain data moments; the modelís simulated performance for other moments is then compared to the data for these as an informal test of the model. We call this procedure...

This paper studies the inference problem of an infinite-dimensional parameter with a shape restriction. This parameter is identified by arbitrarily many unconditional moment equalities. The shape restriction leads to a convex restriction set. I propose a test of the shape restriction, which...

This paper studies the inference problem of an infinite‐dimensional parameter with a shape restriction. This parameter is identified by arbitrarily many unconditional moment equalities. The shape restriction leads to a convex restriction set. I propose a test of the shape restriction, which...

This paper proposes a method for estimating a censored panel data model with a lagged latent dependent variable and individual-specific fixed effects. The main insight is to trim observations in such a way that a certain symmetry, which was destroyed by censoring, is restored. Based on the...