Instrumental variable estimation of semiparametric dynamic panel data models: Monte Carlo results on several new and existing estimators

被引：0

作者：

Berg, MD ^{[1
]}

Li, Q

Ullah, A

机构：

[1] Sam Houston State Univ, Dept Econ & Int Business, Huntsville, TX 77341 USA

[2] Texas A&M Univ, Dept Econ, College Stn, TX 77843 USA

[3] Univ Guelph, Dept Econ, Guelph, ON N1G 2W1, Canada

来源：

ADVANCES ECOOMETRICS, VOL 15, 2000: NONSTATIONARY PANELS, PALEL COINTEGRATION, AND DYNAMIC PANELS | 2000年 / 15卷

关键词：

D O I：

暂无

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We consider the problem of instrumental variable estimation of semiparametric dynamic panel data models. We propose several new semiparametric instrumental variable estimators for estimating a dynamic panel data model. Monte Carlo experiments show that the new estimators perform much better than the estimators suggested by Li & Stengos (1996) and Li & Ullah (1998).

引用

页码：297 / 315

页数：19

共 27 条

[11] MONTE-CARLO RESULTS ON SEVERAL NEW AND EXISTING TESTS FOR THE ERROR COMPONENT MODEL
BALTAGI, BH
CHANG, YJ
LI, Q
JOURNAL OF ECONOMETRICS, 1992, 54 (1-3) : 95 - 120
[12] Markov Chain Monte Carlo estimation of spatial dynamic panel models for large samples
LeSage, James P.
Chih, Yao-Yu
Vance, Colin
COMPUTATIONAL STATISTICS & DATA ANALYSIS, 2019, 138 : 107 - 125
[13] Double filter instrumental variable estimation of panel data models with weakly exogenous variables
Hayakawa, Kazuhiko
Qi, Meng
Breitung, Joerg
ECONOMETRIC REVIEWS, 2019, 38 (09) : 1055 - 1088
[14] Markov models for digraph panel data: Monte Carlo-based derivative estimation
Schweinberger, Michael
Snijders, Tom A. B.
COMPUTATIONAL STATISTICS & DATA ANALYSIS, 2007, 51 (09) : 4465 - 4483
[15] Simulation estimation of dynamic switching regression and dynamic disequilibrium models - some Monte Carlo results
Lee, LF
JOURNAL OF ECONOMETRICS, 1997, 78 (02) : 179 - 204
[16] Two-stage instrumental variable estimation of linear panel data models with interactive effects
Cui, Guowei
Norkut, Milda
Sarafidis, Vasilis
Yamagata, Takashi
ECONOMETRICS JOURNAL, 2022, 25 (02): : 340 - 361
[17] Instrumental-variable estimation of large-T panel-data models with common factors
Kripfganz, Sebastian
Sarafidis, Vasilis
STATA JOURNAL, 2021, 21 (03): : 659 - 686
[18] Small sample performance of dynamic panel data estimators in estimating the growth-convergence equation: A Monte Carlo study
Islam, N
ADVANCES ECOOMETRICS, VOL 15, 2000: NONSTATIONARY PANELS, PALEL COINTEGRATION, AND DYNAMIC PANELS, 2000, 15 : 317 - 339
[19] Do the most frequently used dynamic panel data estimators have the best performance in a small sample? A Monte Carlo comparison
Peric, Blanka Skrabic
CROATIAN OPERATIONAL RESEARCH REVIEW, 2019, 10 (01) : 45 - 54
[20] Some Monte Carlo Evidence for Adaptive Estimation of Unit-Time Varying Heteroscedastic Panel Data Models
Pasha, G. R.
Aslam, Muhammad
PAKISTAN JOURNAL OF STATISTICS AND OPERATION RESEARCH, 2005, 1 (01) : 33 - 44

← 1 2 3 →