This paper considers generalized method of moments (GMM) and sequential GMM (SGMM) estimation dynamic short panel data models. The efficient motivated from the quasi maximum likelihood (QML) can avoid use many instrument variables (IV) for estimation. It be asymptotically as estimators (MLE) when disturbances are normal, more than QML not normal. SGMM, which also incorporates IVs, generalizes m...

In a general classification, the economy of any country is divided into two parts of official and invisible economies. Invisible activities drop outside the scope of the law and official economy and strongly affect socioeconomic development and the formal sector of all countries.These activities which are known under various titles including the shadow economy are influenced by various factors....

In this paper we consider a panel data model with error components that are both spatially and time-wise correlated. The model blends specifications typically considered in the spatial literature with those considered in the error components literature. We introduce generalizations of the generalized moments estimators suggested in Kelejian and Prucha (1999. A generalized moments estimator for ...

Asymptotic expansions are made for the distributions of the Maximum Empirical Likelihood (MEL) estimator and the Estimating Equation (EE) estimator (or the Generalized Method of Moments (GMM) in econometrics) for the coefficients of a single structural equation in a system of linear simultaneous equations, which corresponds to a reduced rank regression model. The expansions in terms of the samp...

By an application of the theory of optimal estimating function, optimal instruments for dynamic models with conditional moment restrictions are derived. The general efficiency bound is provided, along with estimators attaining the bound. It is demonstrated that the optimal estimators are always at least as efficient as the traditional optimal generalized method of moments estimator, and usually...

The hypothesis that political violence deters tourism is mainly based on case study evidence and a few quantitative studies confined to a small sample of countries. Two estimation techniques—a fixed-effects panel estimator with contemporaneous effects only and a dynamic generalized method of moments estimator—are used to test the impact of various forms of political violence on tourism. Both mo...

In estimating conditional moment restrictions, a well known difficulty is that the estimator based on a set of implied unconditional moments may lose its consistency when the parameters of interest are not globally identified. In this paper, we consider a continuum of unconditional moments that are equivalent to the postulated conditional moments and can identify the parameters of interest. We ...