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Parameters of interest, nuisance parameters and orthogonality conditions An application to autoregressive error component models

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  • Crepon, Bruno
  • Kramarz, Francis
  • Trognon, Alain

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  • Crepon, Bruno & Kramarz, Francis & Trognon, Alain, 1997. "Parameters of interest, nuisance parameters and orthogonality conditions An application to autoregressive error component models," Journal of Econometrics, Elsevier, vol. 82(1), pages 135-156.
    • Handle: RePEc:eee:econom:v:82:y:1997:i:1:p:135-156
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    1. Alok Bhargava & J. D. Sargan, 2006. "Estimating Dynamic Random Effects Models From Panel Data Covering Short Time Periods," World Scientific Book Chapters, in: Econometrics, Statistics And Computational Approaches In Food And Health Sciences, chapter 1, pages 3-27, World Scientific Publishing Co. Pte. Ltd..
    2. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-1054, July.
    3. Chamberlain, Gary, 1984. "Panel data," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 22, pages 1247-1318, Elsevier.
    4. 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.
    5. K. Newey, Whitney, 1985. "Generalized method of moments specification testing," Journal of Econometrics, Elsevier, vol. 29(3), pages 229-256, September.
    6. Chamberlain, Gary, 1982. "Multivariate regression models for panel data," Journal of Econometrics, Elsevier, vol. 18(1), pages 5-46, January.
    7. Ahn, Seung C. & Schmidt, Peter, 1995. "Efficient estimation of models for dynamic panel data," Journal of Econometrics, Elsevier, vol. 68(1), pages 5-27, July.
    8. Sevestre, P. & Trognon, A., 1985. "A note on autoregressive error components models," Journal of Econometrics, Elsevier, vol. 28(2), pages 231-245, May.
    9. 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.
    10. Ahn, S.C. & Schmidt, P., 1993. "Efficient Estimation of Dynamic Panel Data Models Under Alternative Sets of Assumptions," Papers 9200, Michigan State - Econometrics and Economic Theory.
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    1. Tue Gørgens & Allan H. Würtz, 2019. "Threshold Regression with Endogeneity for Short Panels," Econometrics, MDPI, vol. 7(2), pages 1-8, May.
    2. Keisuke Hirano & Guido W. Imbens & Geert Ridder, 2003. "Efficient Estimation of Average Treatment Effects Using the Estimated Propensity Score," Econometrica, Econometric Society, vol. 71(4), pages 1161-1189, July.
    3. Magnac, Thierry & Maurin, Eric, 2007. "Identification and information in monotone binary models," Journal of Econometrics, Elsevier, vol. 139(1), pages 76-104, July.
    4. Alban Thomas, 2002. "Consistent estimation of discrete-choice models for panel data with multiplicative effects," 10th International Conference on Panel Data, Berlin, July 5-6, 2002 D6-2, International Conferences on Panel Data.
    5. Bronwyn H. Hall & Jacques Mairesse & Benoit Mulkay, 1998. "Does cash flow cause investment and R&D: an exploration using panel data for French, Japanes and United States scientific firms," IFS Working Papers W98/11, Institute for Fiscal Studies.
    6. Daniel Ackerberg & Xiaohong Chen & Jinyong Hahn & Zhipeng Liao, 2014. "Asymptotic Efficiency of Semiparametric Two-step GMM," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 81(3), pages 919-943.
    7. Bronwyn Hall & Jacques Mairesse, 1998. "Does Cash Flow cause Investment and R and D: An Exploration Using Panel Data for French, Japanese, and United States Scientific Firms," Economics Series Working Papers 1998-W08, University of Oxford, Department of Economics.
    8. Badi H. Baltagi & Chihwa Kao, 2000. "Nonstationary Panels, Cointegration in Panels and Dynamic Panels: A Survey," Center for Policy Research Working Papers 16, Center for Policy Research, Maxwell School, Syracuse University.
    9. Mark N. Harris & Simon Feeny, 2000. "Habit Persistence in Effective Tax Rates: Evidence Using Australian Tax Entities," Melbourne Institute Working Paper Series wp2000n13, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
    10. 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.
    11. Yoshitsugu Kitazawa, 2003. "Dynamic Panel Data Model and Moment Generating Function," Discussion Papers 13, Kyushu Sangyo University, Faculty of Economics.
    12. Michael Lee & Ritchard Longmire & Laszlo Matyas & Mark Harris, 1998. "Growth convergence: some panel data evidence," Applied Economics, Taylor & Francis Journals, vol. 30(7), pages 907-912.
    13. Sadraoui, Tarek & Ben Zina, Naceur, 2007. "Coopération en R&D et croissance économique : Une analyse par les données de panel dynamique [R&D Cooperation and economic growth: A dynamic panel data analysis]," MPRA Paper 3415, University Library of Munich, Germany.
    14. David T. Frazierz & Eric Renault, 2016. "Efficient Two-Step Estimation via Targeting," CIRANO Working Papers 2016s-16, CIRANO.
    15. Ruoyao Shi, 2021. "An Averaging Estimator for Two Step M Estimation in Semiparametric Models," Working Papers 202105, University of California at Riverside, Department of Economics.
    16. Rob Alessie & Stefan Hochguertel & Guglielmo Weber, 2005. "Consumer Credit: Evidence From Italian Micro Data," Journal of the European Economic Association, MIT Press, vol. 3(1), pages 144-178, March.
    17. Frazier, David T. & Renault, Eric, 2017. "Efficient two-step estimation via targeting," Journal of Econometrics, Elsevier, vol. 201(2), pages 212-227.
    18. Mark Harris & Simon Feeny, 2003. "Habit persistence in effective tax rates," Applied Economics, Taylor & Francis Journals, vol. 35(8), pages 951-958.
    19. Kim, Doosoo, 2020. "An alternative two-step generalized method of moments estimator based on a reduced form model," Economics Letters, Elsevier, vol. 192(C).
    20. Prokhorov, Artem & Schmidt, Peter, 2009. "GMM redundancy results for general missing data problems," Journal of Econometrics, Elsevier, vol. 151(1), pages 47-55, July.

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