GMM versus GQL inferences for panel count data
نویسندگان
چکیده
منابع مشابه
GMM for panel count data models
This chapter gives an account of the recent literature on estimating models for panel count data. Specifically, the treatment of unobserved individual heterogeneity that is correlated with the explanatory variables and the presence of explanatory variables that are not strictly exogenous are central. Moment conditions are discussed for these type of problems that enable estimation of the parame...
متن کاملCount Panel Data
This paper surveys panel data methods for count dependent variable that takes nonnegative integer values, such as number of doctor visits. The focus is on short panels, as the literature has concentrated on this case. The survey covers both static and dynamic models with random and fixed effects. The paper surveys quasi-ML methods based on the Poisson, as well as richer more parametric models n...
متن کاملAlternative Gmm Methods for Nonlinear Panel Data Models: Asymptotic Eeciency versus Small Sample Performance
Preliminary draft, comments welcome (Please do not quote or circulate without permission of the authors)
متن کاملA Transformed System GMM Estimator for Dynamic Panel Data Models ∗
The system GMM estimator developed by Blundell and Bond (1998) for dynamic panel data models has been widely used in empirical work; however, it does not perform well with weak instruments. This paper proposes a variation on the system GMM estimator, based on a simple transformation of the dependent variable. Simulation results indicate that, in finite samples, this transformed system GMM estim...
متن کاملSubset-Continuous-Updating GMM Estimators for Dynamic Panel Data Models
The two-step GMM estimators of Arellano and Bond (1991) and Blundell and Bond (1998) for dynamic panel data models have been widely used in empirical work; however, neither of them performs well in small samples with weak instruments. The continuous-updating GMM estimator proposed by Hansen, Heaton, and Yaron (1996) is in principle able to reduce the small-sample bias, but it involves high-dime...
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: Statistics & Probability Letters
سال: 2009
ISSN: 0167-7152
DOI: 10.1016/j.spl.2009.05.017