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A comparison of bias approximations for the 2SLS estimator

Bun, Maurice J. G.; Windmeijer, Frank - 2010

We consider the bias of the 2SLS estimator in the linear instrumental vari-ables regression with one endogenous regressor only. By using asymptotic expansion techniques we approximate 2SLS coefficient estimation bias under various scenarios regarding the number and strength of instruments.The...

Persistent link: https://www.econbiz.de/10003989911

A comparison of bias approximations for the two-stage least squares (2SLS) estimator

Bun, Maurice J. G.; Windmeijer, Frank - In: Economics letters 113 (2011) 1, pp. 76-79

Persistent link: https://www.econbiz.de/10009303150

A comparison of bias approximations for the 2SLS estimator

Bun, Maurice J. G.; Windmeijer, Frank - 2011

Persistent link: https://www.econbiz.de/10010190657

Estimation in dynamic panel data models : improving on the performance of the standard GMM estimator

Blundell, Richard W.; Bond, Stephen; Windmeijer, Frank - 2000

Persistent link: https://www.econbiz.de/10001483382

Estimation in dynamic panel data models : improving on the performance of the standard GMM estimator

Blundell, Richard W.; Bond, Stephen; Windmeijer, Frank - In: Nonstationary panels, panel cointegration, and dynamic …, (pp. 53-91). 2000

Persistent link: https://www.econbiz.de/10001583116

Estimation in dynamic panel data models : improving on the performance of the standard GMM estimator

Blundell, Richard W.; Bond, Stephen; Windmeijer, Frank - 2000

This chapter reviews developments to improve on the poor performance of the standard GMM estimator for highly autoregressive panel series. It considers the use of the system GMM estimator that relies on relatively mild restrictions on the initial condition process. This system GMM estimator...

Persistent link: https://www.econbiz.de/10011537713

Estimation in dynamic panel data models: Improving on the performance of the standard GMM estimator

Blundell, Richard W.; Bond, Stephen; Windmeijer, Frank - In: Nonstationary panels, panel cointegration, and dynamic …, (pp. 53-91). 2001

This chapter reviews developments to improve on the poor performance of the standard GMM estimator for highly autoregressive panel series. It considers the use of the ‘system’ GMM estimator that relies on relatively mild restrictions on the initial condition process. This system GMM...

Persistent link: https://www.econbiz.de/10015390078

Bias correction in the dynamic panel data model with a nonscalar disturbance covariance matrix

Bun, Maurice J. G. - In: Econometric reviews 22 (2003) 1, pp. 29-58

Persistent link: https://www.econbiz.de/10001749175

Bias correction in the dynamic panel data model with a nonscalar disturbance covariance matrix

Bun, Maurice J. G. - 2001

Approximation formulae are developed for the bias of ordinary andgeneralized Least Squares Dummy Variable (LSDV) estimators in dynamicpanel data models. Results from Kiviet (1995, 1999) are extended tohigher-order dynamic panel data models with general covariancestructure. The focus is on...

Persistent link: https://www.econbiz.de/10011313930

On the diminishing returns of higher-order terms in asymptotic expansions of bias

Bun, Maurice J. G.; Kiviet, J. F. - 2002

Persistent link: https://www.econbiz.de/10001732774