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Efficient estimation of multi-level models with strictly exogenous explanatory variables

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  • Yang, Yimin

Abstract

This paper shows that several moment redundancy results developed for panel data models continue to hold for multi-level models with strict exogenous explanatory variables, which establishes the efficiency of some estimators for multi-level linear models.

Suggested Citation

  • Yang, Yimin, 2021. "Efficient estimation of multi-level models with strictly exogenous explanatory variables," Economics Letters, Elsevier, vol. 198(C).
    • Handle: RePEc:eee:ecolet:v:198:y:2021:i:c:s0165176520304274
    DOI: 10.1016/j.econlet.2020.109667
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    References listed on IDEAS

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    2. Laszlo Balazsi & Laszlo Matyas & Tom Wansbeek, 2018. "The estimation of multidimensional fixed effects panel data models," Econometric Reviews, Taylor & Francis Journals, vol. 37(3), pages 212-227, March.
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    5. Tauchen, George, 1986. "Statistical Properties of Generalized Method-of-Moments Estimators of Structural Parameters Obtained from Financial Market Data: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 4(4), pages 423-425, October.
    6. Amemiya, Takeshi & MaCurdy, Thomas E, 1986. "Instrumental-Variable Estimation of an Error-Components Model," Econometrica, Econometric Society, vol. 54(4), pages 869-880, July.
    7. So Im, Kyung & Ahn, Seung C. & Schmidt, Peter & Wooldridge, Jeffrey M., 1999. "Efficient estimation of panel data models with strictly exogenous explanatory variables," Journal of Econometrics, Elsevier, vol. 93(1), pages 177-201, November.
    8. Breusch, Trevor S & Mizon, Grayham E & Schmidt, Peter, 1989. "Efficient Estimation Using Panel Data," Econometrica, Econometric Society, vol. 57(3), pages 695-700, May.
    9. Tauchen, George, 1986. "Statistical Properties of Generalized Method-of-Moments Estimators of Structural Parameters Obtained from Financial Market Data," Journal of Business & Economic Statistics, American Statistical Association, vol. 4(4), pages 397-416, October.
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    More about this item

    Keywords

    Efficiency; Multi-level; Strict exogeneity; Redundancy;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models

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