The DOI matches its Crossref record; 3 of the 3 references it cites were found in a registry or an index.
Efficient Estimation With Panel Data When Instruments Are Predetermined: An Empirical Comparison of Moment-Condition Estimators
Abstract
I examine the empirical performance of instrumental variables estimators with predetermined instruments in an application to life-cycle labor supply under uncertainty. The estimators studied are two-stage least squares, generalized method-of-moments (GMM), forward filter, independently weighted GMM, and split-sample instrumental variables. I compare the bias/efficiency trade-off for the estimators using bootstrap algorithms suggested by Freedman and by Brown and Newey. Results indicate that the downward bias in GMM is quite severe as the number of moment conditions expands, outweighing the gains in efficiency. The forward-filter estimator, however, has lower bias and is more efficient than two-stage least squares.
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Citations
Cites
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
Instrumental Variables Regression with Weak Instruments
Staiger, D., & Stock, J. (1994) · doi:10.3386/t0151 · Cited by 5,302
Panel data and unobservable individual effects
Hausman, J., & Taylor, W. (1981) · Journal of Econometrics · doi:10.1016/0304-4076(81)90085-3 · Cited by 2,309
Cited by
(2001) · RePEc: Research Papers in Economics · Cited by 27,577
Estimating dynamic panel data models: a guide for macroeconomists
Judson, R. A., & Owen, A. L. (1999) · Economics Letters · doi:10.1016/s0165-1765(99)00130-5 · Cited by 2,171
Arellano, M. (2003) · doi:10.1093/0199245282.001.0001 · Cited by 2,108
What is the Impact of International Remittances on Poverty and Inequality in Latin America?
Acosta, P., Calderón, C., Fajnzylber, P., & Lopez, H. (2008) · World Development · doi:10.1016/j.worlddev.2007.02.016 · Cited by 599
Panel Data Models: Some Recent Developments
Arellano, M., & Honoré, B. (2001) · Handbook of Econometrics · doi:10.1016/s1573-4412(01)05006-1 · Cited by 561
Metadata
- Authors
- Ziliak, J. P.
- Venue
- Journal of Business & Economic Statistics
- Publisher
- Informa UK Limited
- Published
- 1997-10
- Volume
- 15
- Issue
- 4
- Pages
- 419-431
- ISSN
- 0735-0015 (ISSN-L)
- 1537-2707
- OpenAlex
- W2062423352
- Cited by
- 308
- References
- 3
- FWCI
- 5.13
- Type
- journal article
- Language
- en
- Open access
- closed
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- Ziliak, J. P. (1997). Efficient Estimation With Panel Data When Instruments Are Predetermined: An Empirical Comparison of Moment-Condition Estimators. Journal of Business & Economic Statistics. https://doi.org/10.1080/07350015.1997.10524720
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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.
