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Criterion-based inference for GMM in autoregressive panel data models
Bond, Stephen; Bowsher, Clive; Windmeijer, Frank - 2001
restristions for standard GMM estimators in autoregressive panel data models. A comparison is made with recent test proposals based …
Persistent link: https://www.econbiz.de/10010293028
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Robust standard errors in transformed likelihood estimation of dynamic panel data models
Hayakawa, Kazuhiko; Pesaran, M. Hashem - 2012
This paper extends the transformed maximum likelihood approach for estimation of dynamic panel data models by Hsiao …
Persistent link: https://www.econbiz.de/10010282268
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Robust standard errors in transformed likelihood estimation of dynamic panel data models
Hayakawa, Kazuhiko; Pesaran, M. Hashem - 2012
This paper extends the transformed maximum likelihood approach for estimation of dynamic panel data models by Hsiao …
Persistent link: https://www.econbiz.de/10010283629
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Likelihood-based cointegration analysis in panels of vector error correction models
Groen, Jan J. J.; Kleibergen, Frank - 1999 - This version: July 28, 1999
for the validity of the monetary exchange rate modelwithin a panel of vector error correction models for three …
Persistent link: https://www.econbiz.de/10011302148
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Robust standard errors in transformed likelihood estimation of dynamic panel data models
Hayakawa, Kazuhiko; Pesaran, M. Hashem - 2012
This paper extends the transformed maximum likelihood approach for estimation of dynamic panel data models by Hsiao …
Persistent link: https://www.econbiz.de/10009545313
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Robust standard errors in transformed likelihood estimation of dynamic panel data models
Hayakawa, Kazuhiko; Pesaran, M. Hashem - 2012
This paper extends the transformed maximum likelihood approach for estimation of dynamic panel data models by Hsiao …
Persistent link: https://www.econbiz.de/10009570680
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Accuracy and Efficiency of Various GMM Inference Techniques in Dynamic Micro Panel Data Models
Kiviet, Jan F. - 2015
-Bond GMM estimation techniques for single dynamic panel data models with possibly endogenous regressors and cross …
Persistent link: https://www.econbiz.de/10013028784
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Criterion-Based Inference for GMM in Autoregressive Panel Data Models
Windmeijer, Frank; Bond, Stephen R.; Bowsher, Clive G. - 2001
restrictions for standard GMM estimators in autoregressive panel data models. A comparison is made with recent test proposals based …
Persistent link: https://www.econbiz.de/10014133628
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Uniform Quasi ML Based Inference for the Panel AR(1) Model
Kruiniger, Hugo - 2018
This paper proposes new inference methods for panel AR models with arbitrary initial conditions and heteroskedasticity …
Persistent link: https://www.econbiz.de/10012912718
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On the Estimation and Inference of a Cointegrated Regression in Panel Data
Kao, Chihwa; Chiang, Min-Hsien - 1997
(DOLS) estimators in cointegrated regression models in panel data. We show that the OLS, FM, and DOLS estimators are all …
Persistent link: https://www.econbiz.de/10014149909