Robust estimation and moment selection in dynamic fixed-effects panel data models
نویسندگان
چکیده
منابع مشابه
Consistency in Estimation and Model Selection of Dynamic Panel Data Models with Fixed Effects
We examine the relationship between consistent parameter estimation and model selection for autoregressive panel data models with fixed effects. We find that the transformation of fixed effects proposed by Lancaster (2002) does not necessarily lead to consistent estimation of common parameters when some true exogenous regressors are excluded. We propose a data dependent way to specify the prior...
متن کاملRobust Standard Error Estimation in Fixed-effects Panel Models*
This paper focuses on standard error estimation in Fixed-Effects panel models if there is serial correlation in the error process. Applied researchers have often ignored the problem, probably because major statistical packages do not estimate robust standard errors in FE models. Not surprisingly, this can lead to severe bias in the standard error estimates, both in hypothetical and real-life si...
متن کاملConsistent model and moment selection procedures for GMM estimation with application to dynamic panel data models
This paper develops consistent model and moment selection criteria for GMM estimation. The criteria select the correct model speci"cation and all correct moment conditions asymptotically. The selection criteria resemble the widely used likelihoodbased selection criteria BIC, HQIC, and AIC. (The latter is not consistent.) The GMM selection criteria are based on the J statistic for testing over-i...
متن کاملMedian-based estimation of dynamic panel models with fixed effects
We propose outlier-robust estimators for linear dynamic fixed effects panel data models where the number of observations,N , is large and the number of time periods, T , is small. In the simple setting of estimating the AR(1) coefficient from stationary Gaussian panel data, the estimator is (a linear transformation of) the median ratio of adjacent first-differenced data pairs. Its influence fun...
متن کاملNonparametric estimation and testing of fixed effects panel data models.
In this paper we consider the problem of estimating nonparametric panel data models with fixed effects. We introduce an iterative nonparametric kernel estimator. We also extend the estimation method to the case of a semiparametric partially linear fixed effects model. To determine whether a parametric, semiparametric or nonparametric model is appropriate, we propose test statistics to test betw...
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: Computational Statistics
سال: 2017
ISSN: 0943-4062,1613-9658
DOI: 10.1007/s00180-017-0782-7