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Criterion-based inference for GMM in autoregressive panel data models
Bond, Stephen; Bowsher, Clive; Windmeijer, Frank - 2001
In this paper we examine the properties of a simple criterion-based, likelihood ratio type test of parameter restristions for standard GMM estimators in autoregressive panel data models. A comparison is made with recent test proposals based in the continuously-updated GMM criterion (Hansen,...
Persistent link: https://www.econbiz.de/10010293028
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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
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Criterion-based inference for GMM in autoregressive panel data models
Bond, Stephen (contributor); Bowsher, Clive (contributor);  … - 2001 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001545011
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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
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Finite sample inference for GMM estimators in linear panel data models
Bond, Stephen (contributor); Windmeijer, Frank (contributor) - 2002 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001748246
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Projection estimators for autoregressive panel data models
Bond, Stephen; Windmeijer, Frank - In: The econometrics journal 5 (2002) 2, pp. 457-479
Persistent link: https://www.econbiz.de/10001713321
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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 - In: Econometric reviews 24 (2005) 1, pp. 1-37
Persistent link: https://www.econbiz.de/10002655586
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Unit roots : identification and testing in micro panels
Bond, Stephen (contributor); Nauges, Céline (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10002996750
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Criterion-based inference for GMM in autoregressive panel data models
Bond, Stephen; Bowsher, Clive; Windmeijer, Frank - In: Economics letters 73 (2001) 3, pp. 379-388
Persistent link: https://www.econbiz.de/10001635106
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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