Local generalized method of moments estimation based on kernel weights: An application to panel data
AbstractThis paper presents and applies a local generalized method of moments (LGMM) estimator for regression functions. The method is an extension of previous results obtained by Gozalo and Linton. The LGMM estimation procedure can be applied to estimate a mean regression function and its derivatives at an interior point x , without making explicit assumptions about its functional form. The method has been applied to estimate dynamic models based on panel data.
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Bibliographic InfoArticle provided by Taylor and Francis Journals in its journal Journal of Applied Statistics.
Volume (Year): 26 (1999)
Issue (Month): 8 ()
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Web page: http://taylorandfrancis.metapress.com/link.asp?target=journal&id=100411
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- Arellano, Manuel & Bond, Stephen, 1991.
"Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations,"
Review of Economic Studies,
Wiley Blackwell, vol. 58(2), pages 277-97, April.
- Tom Doan, . "RATS program to replicate Arellano-Bond 1991 dynamic panel," Statistical Software Components RTZ00169, Boston College Department of Economics.
- Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July.
- Pedro Gozalo & Oliver Linton, 1994. "Local Nonlinear Least Squares Estimation: Using Parametric Information Nonparametrically," Cowles Foundation Discussion Papers 1075, Cowles Foundation for Research in Economics, Yale University.
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