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A powerful test of mean stationarity in dynamic models for panel data: Monte Carlo evidence

  • Giorgio Calzolari

    ()

    (University of Florence)

  • Laura Magazzini

    ()

    (Department of Economics (University of Verona))

No abstract is available for this item.

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Paper provided by University of Verona, Department of Economics in its series Working Papers with number 14/2013.

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Date of creation: Aug 2013
Date of revision:
Handle: RePEc:ver:wpaper:14/2013
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  1. Christian Gourieroux & Peter C. B. Phillips & Jun Yu, 2006. "Indirect Inference for Dynamic Panel Models," Cowles Foundation Discussion Papers 1550, Cowles Foundation for Research in Economics, Yale University.
  2. 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.
  3. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July.
  4. Giorgio Calzolari & Laura Magazzini, 2011. "Moment Conditions and Neglected Endogeneity in Panel Data Models," Working Papers 02/2011, University of Verona, Department of Economics.
  5. Blundell, R. & Bond, S., 1995. "Initial Conditions and Moment Restrictions in Dynamic Panel Data Models," Economics Papers 104, Economics Group, Nuffield College, University of Oxford.
  6. Steve Bond & Clive Bowsher & Frank Windmeijer, 2001. "Criterion-based inference for GMM in autoregressive panel-data models," IFS Working Papers W01/02, Institute for Fiscal Studies.
  7. David Roodman, 2007. "A Note on the Theme of Too Many Instruments," Working Papers 125, Center for Global Development.
  8. Kazuhiko Hayakawa, 2005. "Small Sample Bias Propreties of the System GMM Estimator in Dynamic Panel Data Models," Hi-Stat Discussion Paper Series d05-82, Institute of Economic Research, Hitotsubashi University.
  9. M Arellano & O Bover, 1990. "Another Look at the Instrumental Variable Estimation of Error-Components Models," CEP Discussion Papers dp0007, Centre for Economic Performance, LSE.
  10. Stephen Bond & Frank Windmeijer, 2005. "Reliable Inference For Gmm Estimators? Finite Sample Properties Of Alternative Test Procedures In Linear Panel Data Models," Econometric Reviews, Taylor & Francis Journals, vol. 24(1), pages 1-37.
  11. Anderson, T. W. & Hsiao, Cheng, 1982. "Formulation and estimation of dynamic models using panel data," Journal of Econometrics, Elsevier, vol. 18(1), pages 47-82, January.
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