On the behaviour of the GMM estimator in persistent dynamic panel data models with unrestricted initial conditions

Computational Statistics & Data Analysis ◽

10.1016/j.csda.2015.03.007 ◽

2016 ◽

Vol 100 ◽

pp. 265-303 ◽

Cited By ~ 6

Author(s):

Kazuhiko Hayakawa ◽

Shuichi Nagata

Keyword(s):

Panel Data ◽

Initial Conditions ◽

Dynamic Panel Data ◽

Data Models ◽

Panel Data Models ◽

Dynamic Panel ◽

Dynamic Panel Data Models ◽

Gmm Estimator

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On the Behavior of the GMM Estimator in Persistent Dynamic Panel Data Models with Unrestricted Initial Conditions

SSRN Electronic Journal ◽

10.2139/ssrn.2009015 ◽

2012 ◽

Cited By ~ 1

Author(s):

Kazuhiko Hayakawa ◽

Shuichi Nagata

Keyword(s):

Panel Data ◽

Initial Conditions ◽

Dynamic Panel Data ◽

Data Models ◽

Panel Data Models ◽

Dynamic Panel ◽

Dynamic Panel Data Models ◽

Gmm Estimator

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The Asymptotic Properties of the System GMM Estimator in Dynamic Panel Data Models When Both N and T are Large

SSRN Electronic Journal ◽

10.2139/ssrn.1412035 ◽

2012 ◽

Cited By ~ 5

Author(s):

Kazuhiko Hayakawa

Keyword(s):

Panel Data ◽

Asymptotic Properties ◽

Dynamic Panel Data ◽

Data Models ◽

Panel Data Models ◽

Dynamic Panel ◽

Dynamic Panel Data Models ◽

System Gmm ◽

Gmm Estimator

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The Weak Instrument Problem of the System GMM Estimator in Dynamic Panel Data Models

SSRN Electronic Journal ◽

10.2139/ssrn.1486048 ◽

2009 ◽

Cited By ~ 5

Author(s):

Maurice J. G. Bun ◽

Frank Windmeijer

Keyword(s):

Panel Data ◽

Dynamic Panel Data ◽

Data Models ◽

Panel Data Models ◽

Dynamic Panel ◽

Dynamic Panel Data Models ◽

System Gmm ◽

Gmm Estimator

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Efficiency Comparisons for a System GMM Estimator in Dynamic Panel Data Models

Innovations in Multivariate Statistical Analysis - Advanced Studies in Theoretical and Applied Econometrics ◽

10.1007/978-1-4615-4603-0_11 ◽

2000 ◽

pp. 175-184 ◽

Cited By ~ 6

Author(s):

Frank Windmeijer

Keyword(s):

Panel Data ◽

Dynamic Panel Data ◽

Data Models ◽

Panel Data Models ◽

Dynamic Panel ◽

Dynamic Panel Data Models ◽

System Gmm ◽

Gmm Estimator

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Incidental Parameters, Initial Conditions and Sample Size in Statistical Inference for Dynamic Panel Data Models

SSRN Electronic Journal ◽

10.2139/ssrn.3162356 ◽

2018 ◽

Author(s):

Cheng Hsiao ◽

Qiankun Zhou

Keyword(s):

Panel Data ◽

Sample Size ◽

Statistical Inference ◽

Initial Conditions ◽

Dynamic Panel Data ◽

Data Models ◽

Panel Data Models ◽

Dynamic Panel ◽

Dynamic Panel Data Models ◽

Incidental Parameters

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Small sample bias properties of the system GMM estimator in dynamic panel data models

Economics Letters ◽

10.1016/j.econlet.2006.09.011 ◽

2007 ◽

Vol 95 (1) ◽

pp. 32-38 ◽

Cited By ~ 105

Author(s):

Kazuhiko Hayakawa

Keyword(s):

Panel Data ◽

Dynamic Panel Data ◽

Small Sample ◽

Data Models ◽

Panel Data Models ◽

Dynamic Panel ◽

Dynamic Panel Data Models ◽

System Gmm ◽

Gmm Estimator ◽

Sample Bias

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The weak instrument problem of the system GMM estimator in dynamic panel data models

Econometrics Journal ◽

10.1111/j.1368-423x.2009.00299.x ◽

2010 ◽

Vol 13 (1) ◽

pp. 95-126 ◽

Cited By ~ 170

Author(s):

Maurice J. G. Bun ◽

Frank Windmeijer

Keyword(s):

Panel Data ◽

Dynamic Panel Data ◽

Data Models ◽

Panel Data Models ◽

Dynamic Panel ◽

Dynamic Panel Data Models ◽

System Gmm ◽

Gmm Estimator

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

Advances in Econometrics - Nonstationary Panels, Panel Cointegration, and Dynamic Panels ◽

10.1016/s0731-9053(00)15003-0 ◽

2004 ◽

pp. 53-91 ◽

Cited By ~ 152

Author(s):

Richard Blundell ◽

Stephen Bond ◽

Frank Windmeijer

Keyword(s):

Panel Data ◽

Dynamic Panel Data ◽

Data Models ◽

Panel Data Models ◽

Dynamic Panel ◽

Dynamic Panel Data Models ◽

Gmm Estimator

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A Transformed System GMM Estimator for Dynamic Panel Data Models

SSRN Electronic Journal ◽

10.2139/ssrn.2398717 ◽

2014 ◽

Author(s):

Xiaojin Sun ◽

Richard A. Ashley

Keyword(s):

Panel Data ◽

Dynamic Panel Data ◽

Data Models ◽

Panel Data Models ◽

Dynamic Panel ◽

Dynamic Panel Data Models ◽

System Gmm ◽

Gmm Estimator

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Further Results on the Weak Instruments Problem of the System GMM Estimator in Dynamic Panel Data Models

SSRN Electronic Journal ◽

10.2139/ssrn.2965281 ◽

2017 ◽

Cited By ~ 3

Author(s):

Kazuhiko Hayakawa ◽

Meng Qi

Keyword(s):

Panel Data ◽

Dynamic Panel Data ◽

Data Models ◽

Panel Data Models ◽

Dynamic Panel ◽

Weak Instruments ◽

Dynamic Panel Data Models ◽

System Gmm ◽

Gmm Estimator

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