Instrument relevance and efficient estimation with panel data
نویسندگان
چکیده
منابع مشابه
Semiparametric Efficient Estimation of AR(1) Panel Data Models∗
This study focuses on the semiparametric efficient estimation of random effect panel models containing AR(1) disturbances. We also consider such estimators when the effects and regressors are correlated (Hausman and Taylor, 1981). We introduce two semiparametric efficient estimators that make minimal assumptions on the distribution of the random errors, effects, and the regressors and that prov...
متن کاملEfficient Estimation of Dynamic Panel Data Models: Alternative Assumptions and Simplified Estimation
This paper considers the estimation of dynamic models for panel data. It shows how to count and express the moment conditions implied by a variety of covariance restrictions. These conditions can be imposed in a GMM framework. Many of the moment conditions are nonlinear in the parameters. We derive a simple linearized estimator that is asymptotically as efficient as the nonlinear GMM estimator,...
متن کاملEfficient Estimation in Panel Data Partially Additive Linear Model with Serially Correlated Errors
The partially linear additive model arises in many scientific endeavors. In this paper, we look at inference given panel data and a serially correlated error component structure. By combining polynomial spline series approximation with least squares and the estimation of correlation, we propose a weighted semiparametric least squares estimator (WSLSE) for the parametric components, and a weight...
متن کاملEstimation and inference with non-stationary panel time-series data
The econometric theory for panel data regressions was largely developed for survey data where N the number of individuals was large and T the number of time periods small. The asymptotic statistical theory was derived by letting N → ∞ for fixed T . In recent years there has been growing interest in cases, such as sets of countries, regions or industries, where there are fairly long time-series ...
متن کاملEstimation of Dynamic Panel Data Models with Sample Selection
We thank the editor M. Hashem Pesaran and three anonymous referees for their useful comments. 1 Summary We propose a new method for estimating dynamic panel data models with selection. The method uses backward substitution for the lagged dependent variable, which leads to an estimating equation that requires correcting for contemporaneous selection only. The estimator is valid under relatively ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Economics Letters
سال: 2006
ISSN: 0165-1765
DOI: 10.1016/j.econlet.2006.05.020