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Projection Estimators for Autoregressive Panel Data Models

Bond, Stephen; Windmeijer, Frank - 2003

In this paper we explore a new approach to estimation for autoregressive panel data models, based on projecting the …

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

Uniform inference in panel autoregression

Chao, John C.; Phillips, Peter C. B. - In: Econometrics : open access journal 7 (2019) 4/45, pp. 1-28

This paper considers estimation and inference concerning the autoregressive coefficient (p) in a panel autoregression … extensive set of new results on the asymptotic behavior of panel IV estimators in weak instrument settings. …

Persistent link: https://www.econbiz.de/10012160749

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

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

Many (weak) judges in judge-leniency designs

Jochmans, Koen - 2023 - This version: October 10, 2023

Persistent link: https://www.econbiz.de/10014383414

Admissible Invariant Similar Tests for Instrumental Variables Regression

Chernozhukov, Victor; Hansen, Christian Bailey; … - 2007

This paper studies a model widely used in the weak instruments literature and establishes admissibility of the weighted average power likelihood ratio tests recently derived by Andrews, Moreira, and Stock (2004). The class of tests covered by this admissibility result contains the Anderson and...

Persistent link: https://www.econbiz.de/10014026286

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

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

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

Select the Valid and Relevant Moments : A One-Step Procedure for GMM with Many Moments

Cheng, Xu - 2013

This paper considers the selection of valid and relevant moments for the generalized method of moments (GMM) estimation. For applications with many candidate moments, our asymptotic analysis ccommodates a diverging number of moments as the sample size increases. The proposed procedure achieves...

Persistent link: https://www.econbiz.de/10013089571