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Bias-Corrected Instrumental Variable Estimation in Linear Dynamic Panel Data Models

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  • Chen, Weihao

    (Tilburg University, School of Economics and Management)

  • Cizek, Pavel

    (Tilburg University, School of Economics and Management)

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  • Chen, Weihao & Cizek, Pavel, 2023. "Bias-Corrected Instrumental Variable Estimation in Linear Dynamic Panel Data Models," Other publications TiSEM 9bf2c16c-522f-4223-8037-c, Tilburg University, School of Economics and Management.
    • Handle: RePEc:tiu:tiutis:9bf2c16c-522f-4223-8037-ce88ed351cc3
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    File URL: https://pure.uvt.nl/ws/portalfiles/portal/82271980/2023-028.pdf
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    2. Geert Dhaene & Koen Jochmans, 2015. "Split-panel Jackknife Estimation of Fixed-effect Models," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 82(3), pages 991-1030.
    3. Alexander Chudik & M. Hashem Pesaran & Jui‐Chung Yang, 2018. "Half‐panel jackknife fixed‐effects estimation of linear panels with weakly exogenous regressors," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(6), pages 816-836, September.
    4. Flannery, Mark J. & Hankins, Kristine Watson, 2013. "Estimating dynamic panel models in corporate finance," Journal of Corporate Finance, Elsevier, vol. 19(C), pages 1-19.
    5. Maurice J. G. Bun & Frank Windmeijer, 2010. "The weak instrument problem of the system GMM estimator in dynamic panel data models," Econometrics Journal, Royal Economic Society, vol. 13(1), pages 95-126, February.
    6. Kitazawa, Yoshitsugu, 2001. "Exponential regression of dynamic panel data models," Economics Letters, Elsevier, vol. 73(1), pages 7-13, October.
    7. Javier Alvarez & Manuel Arellano, 2003. "The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators," Econometrica, Econometric Society, vol. 71(4), pages 1121-1159, July.
    8. Hahn, Jinyong & Hausman, Jerry & Kuersteiner, Guido, 2007. "Long difference instrumental variables estimation for dynamic panel models with fixed effects," Journal of Econometrics, Elsevier, vol. 140(2), pages 574-617, October.
    9. Holtz-Eakin, Douglas & Newey, Whitney & Rosen, Harvey S, 1988. "Estimating Vector Autoregressions with Panel Data," Econometrica, Econometric Society, vol. 56(6), pages 1371-1395, November.
    10. Jinyong Hahn & Guido Kuersteiner, 2002. "Asymptotically Unbiased Inference for a Dynamic Panel Model with Fixed Effects when Both "n" and "T" Are Large," Econometrica, Econometric Society, vol. 70(4), pages 1639-1657, July.
    11. Han, Chirok & Phillips, Peter C. B. & Sul, Donggyu, 2014. "X-Differencing And Dynamic Panel Model Estimation," Econometric Theory, Cambridge University Press, vol. 30(1), pages 201-251, February.
    12. Kiviet, Jan F., 1995. "On bias, inconsistency, and efficiency of various estimators in dynamic panel data models," Journal of Econometrics, Elsevier, vol. 68(1), pages 53-78, July.
    13. Gouriéroux, Christian & Phillips, Peter C.B. & Yu, Jun, 2010. "Indirect inference for dynamic panel models," Journal of Econometrics, Elsevier, vol. 157(1), pages 68-77, July.
    14. Yong Bao, 2021. "Indirect Inference Estimation of a First-Order Dynamic Panel Data Model," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 19(1), pages 79-98, December.
    15. Hahn, Jinyong, 1997. "Efficient estimation of panel data models with sequential moment restrictions," Journal of Econometrics, Elsevier, vol. 79(1), pages 1-21, July.
    16. Gonçalves, Sílvia & Kaffo, Maximilien, 2015. "Bootstrap inference for linear dynamic panel data models with individual fixed effects," Journal of Econometrics, Elsevier, vol. 186(2), pages 407-426.
    17. Newey, Whitney K, 1991. "Uniform Convergence in Probability and Stochastic Equicontinuity," Econometrica, Econometric Society, vol. 59(4), pages 1161-1167, July.
    18. Blundell, Richard & Bond, Stephen, 1998. "Initial conditions and moment restrictions in dynamic panel data models," Journal of Econometrics, Elsevier, vol. 87(1), pages 115-143, August.
    19. Bun, Maurice J.G. & Carree, Martin A., 2006. "Bias-corrected estimation in dynamic panel data models with heteroscedasticity," Economics Letters, Elsevier, vol. 92(2), pages 220-227, August.
    20. Geert Dhaene & Koen Jochmans, 2015. "Split-panel Jackknife Estimation of Fixed-effect Models," Review of Economic Studies, Oxford University Press, vol. 82(3), pages 991-1030.
    21. Dang, Viet Anh & Kim, Minjoo & Shin, Yongcheol, 2015. "In search of robust methods for dynamic panel data models in empirical corporate finance," Journal of Banking & Finance, Elsevier, vol. 53(C), pages 84-98.
    22. Lancaster, Tony, 2000. "The incidental parameter problem since 1948," Journal of Econometrics, Elsevier, vol. 95(2), pages 391-413, April.
    23. Sasaki, Yuya & Xin, Yi, 2017. "Unequal spacing in dynamic panel data: Identification and estimation," Journal of Econometrics, Elsevier, vol. 196(2), pages 320-330.
    24. Hall, Alastair R. & Inoue, Atsushi & Jana, Kalidas & Shin, Changmock, 2007. "Information in generalized method of moments estimation and entropy-based moment selection," Journal of Econometrics, Elsevier, vol. 138(2), pages 488-512, June.
    25. Juodis, Artūras, 2013. "A note on bias-corrected estimation in dynamic panel data models," Economics Letters, Elsevier, vol. 118(3), pages 435-438.
    26. Manuel Arellano & Stephen Bond, 1991. "Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 58(2), pages 277-297.
    27. Breitung, Jörg & Kripfganz, Sebastian & Hayakawa, Kazuhiko, 2022. "Bias-corrected method of moments estimators for dynamic panel data models," Econometrics and Statistics, Elsevier, vol. 24(C), pages 116-132.
    28. Windmeijer, Frank, 2005. "A finite sample correction for the variance of linear efficient two-step GMM estimators," Journal of Econometrics, Elsevier, vol. 126(1), pages 25-51, May.
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