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GMM ESTIMATION FOR DYNAMIC PANELS WITH FIXED EFFECTS AND STRONG INSTRUMENTS AT UNITY
Open accessAbstract
This paper develops new estimation and inference procedures for dynamic panel data models with fixed effects and incidental trends. A simple consistent GMM estimation method is proposed that avoids the weak moment condition problem that is known to affect conventional GMM estimation when the autoregressive coefficient (ρ) is near unity. In both panel and time series cases, the estimator has standard Gaussian asymptotics for all values of ρ ∈ (−1, 1] irrespective of how the composite cross-section and time series sample sizes pass to infinity. Simulations reveal that the estimator has little bias even in very small samples. The approach is applied to panel unit root testing.
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Citations
Cites
Initial conditions and moment restrictions in dynamic panel data models
Blundell, R., & Bond, S. (1998) · Journal of Econometrics · doi:10.1016/s0304-4076(98)00009-8 · Cited by 22,571
Another look at the instrumental variable estimation of error-components models
Arellano, M., & Bover, O. (1995) · Journal of Econometrics · doi:10.1016/0304-4076(94)01642-d · Cited by 19,880
Biases in dynamic models with fixed effects
Nickell, S. (1981) · Econometrica · doi:10.2307/1911408 · Cited by 8,735
Instrumental Variables Regression with Weak Instruments
Staiger, D., & Stock, J. (1994) · doi:10.3386/t0151 · Cited by 5,302
Cited by
Dynamic Models and Structural Estimation in Corporate Finance
Strebulaev, I. A. (2011) · Foundations and Trends® in Finance · doi:10.1561/0500000035 · Cited by 259
Performance Of The South African Banking Sector Since 1994
Ifeacho, C., & Ngalawa, H. (2014) · Journal of Applied Business Research (JABR) · doi:10.19030/jabr.v30i4.8663 · Cited by 42
Working capital, cash flow and profitability of intensive MSMEs: Evidence from Ecuador
Briones, O. F., Camino-Mogro, S. M., & Navas, V. J. (2024) · Journal of Entrepreneurship in Emerging Economies · doi:10.1108/jeee-01-2022-0003 · Cited by 21
Metadata
- Authors
- Han, C., & Phillips, P. C. B.
- Venue
- Econometric Theory
- Publisher
- Cambridge University Press (CUP)
- Published
- 2009-06-19
- Volume
- 26
- Issue
- 1
- Pages
- 119-151
- ISSN
- 0266-4666 (ISSN-L)
- 1469-4360
- OpenAlex
- W1794161424
- Cited by
- 216
- References
- 4
- FWCI
- 15.53
- Type
- journal article
- Language
- en
- Open access
- green
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- Han, C., & Phillips, P. C. B. (2010). GMM ESTIMATION FOR DYNAMIC PANELS WITH FIXED EFFECTS AND STRONG INSTRUMENTS AT UNITY. Econometric Theory. https://doi.org/10.1017/s026646660909063x
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
