Symmetrically Normalized Instrumental-Variable Estimation Using Panel Data
The authors discuss the estimation of linear panel-data models with sequential moment restrictions using symmetrically normalized generalized method of moments (SNM) estimators and limited information maximum likelihood (LIML) analogues. These estimators are asymptotically equivalent to standard generalized method of moments (GMM) estimators but are invariant to normalization and tend to have a smaller finite-sample bias, especially when the instruments are poor. The authors study their properties in relation to ordinary GMM and minimum distance estimators for AR(l) models with individual effects by mean of simulations. Finally, as empirical illustrations, they estimate by SNM and LIML employment and wage equations using panels of U.K. and Spanish firms.
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Volume (Year): 17 (1999)
Issue (Month): 1 (January)
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References listed on IDEAS
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- White, Halbert, 1982. "Instrumental Variables Regression with Independent Observations," Econometrica, Econometric Society, vol. 50(2), pages 483-499, March.
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- Joseph G. Altonji & Lewis M. Segal, 1994. "Small sample bias in GMM estimation of covariance structures," Working Paper Series, Macroeconomic Issues 94-8, Federal Reserve Bank of Chicago.
- Joseph G. Altonji & Lewis M. Segal, 1994. "Small Sample Bias in GMM Estimation of Covariance Structures," NBER Technical Working Papers 0156, National Bureau of Economic Research, Inc.
- Keller, Wouter J., 1975. "A new class of limited-information estimators for simultaneous equations systems," Journal of Econometrics, Elsevier, vol. 3(1), pages 71-92, February.
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- Angrist, Joshua D & Krueger, Alan B, 1995. "Split-Sample Instrumental Variables Estimates of the Return to Schooling," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(2), pages 225-235, April.
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- Bekker, Paul A, 1994. "Alternative Approximations to the Distributions of Instrumental Variable Estimators," Econometrica, Econometric Society, vol. 62(3), pages 657-681, May. Full references (including those not matched with items on IDEAS)
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