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Estimation and inference in functional-coefficient spatial autoregressive panel data models with fixed effects

Sun, Yiguo; Malikov, Emir - In: Journal of econometrics 203 (2018) 2, pp. 359-378

Persistent link: https://www.econbiz.de/10011974689

Testing for a structural break in dynamic panel data models with common factors

Zhu, Huanjun; Sarafidis, Vasilis; Silvapulle, Mervyn J.; … - 2015

Persistent link: https://www.econbiz.de/10011781404

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 unobserved heterogeneity represented by a factor error structure. The common factor approach is an appealing way to capture the effect of unobserved variables, such as skills and...

Persistent link: https://www.econbiz.de/10013014830

Robust LM tests for spatial dynamic panel data models

Bera, Anil K.; Doğan, Osman; Taṣpınar, Süleyman; … - In: Regional science & urban economics 76 (2019), pp. 47-66

Persistent link: https://www.econbiz.de/10012267310

Testing over- and underidentification in linear models, with applications to dynamic panel data and asset-pricing models

Windmeijer, Frank - 2018

Persistent link: https://www.econbiz.de/10011943476

Testing underidentification in linear models, with applications to dynamic panel and asset pricing models

Windmeijer, Frank - In: Journal of econometrics 240 (2024) 2, pp. 1-15

Persistent link: https://www.econbiz.de/10015075096

Assessing the consistency of the fixed-effects estimator : a regression-based Wald test

Spierdijk, Laura - In: Empirical economics : a quarterly journal of the … 64 (2023) 4, pp. 1599-1630

Persistent link: https://www.econbiz.de/10014253710

Reliable Inference for GMM Estimators? Finite Sample Properties of Alternative Test Procedures in Linear Panel Data Models

Bond, Stephen; Windmeijer, Frank - 2005

estimated using Generalised Method of Moments (GMM). These include standard asymptotic Wald tests based on one-step and two …-step GMM estimators; two bootstrapped versions of these Wald tests; a version of the two-step Wald test that uses a finite … sample corrected estimate of the variance of the two-step GMM estimator; the LM test; and three criterion-based tests that …

Persistent link: https://www.econbiz.de/10014064498

Projection Estimators for Autoregressive Panel Data Models

Bond, Stephen; Windmeijer, Frank - 2003

which coincide with known generalised method of moments (GMM estimators for models where stationarity is not imposed on the …

Persistent link: https://www.econbiz.de/10014123931

GMM gradient tests for spatial dynamic panel data models

Taṣpınar, Süleyman; Doğan, Osman; Bera, Anil K. - In: Regional science & urban economics 65 (2017), pp. 65-88

Persistent link: https://www.econbiz.de/10011792668