Symmetrically normalized instrumental-variable estimation using panel data
AbstractWe discuss the estimation of linear panel-data models with sequential moment restrictionsu sing symmetricallyn or malizedg eneralized method of moments( GMM) estimators( SNM)and limited information maximuml i kelihood( LIML)analogues These es imators are asymptotically equivalent to standardG MMb ut are invariantto normalizationan dt end to havea smallerf inite-samplbe ias, especiallyw hen the instruments are poor. We study their properties in relation to ordinary GMM and minimum distancee stimators for AR(1)model swith individual effects by mean of simulations. Finally, as empirical ilustrations, we estimate by SNM and LML employment and wage equations using panels of U.K. and Spanish firm.
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Bibliographic InfoPaper provided by Universidad Carlos III de Madrid in its series Open Access publications from Universidad Carlos III de Madrid with number info:hdl:10016/4655.
Length: 51 p.
Date of creation: Jan 1999
Date of revision:
Publication status: Published in Journal of Business & Economics Statistics (1999-01) v.v. 17, p.36-49
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Web page: http://www.uc3m.es
Autoregressive models; Dynamic panel data; Employment equations; Generalized method of moments; Monte Carlo methods; Symmetric normalization;
Other versions of this item:
- Alonso-Borrego, Cesar & Arellano, Manuel, 1999. "Symmetrically Normalized Instrumental-Variable Estimation Using Panel Data," Journal of Business & Economic Statistics, American Statistical Association, vol. 17(1), pages 36-49, January.
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