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On the Estimation of Panel-Data Models with Serial Correlation When Instruments Are Not Strictly Exogenous: Reply

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  1. Jacques Mairesse & Bronwyn H. Hall & Benoît Mulkay, 1999. "Firm-Level Investment in France and the United States: An Exploration of What We Have Learned in Twenty Years," Annals of Economics and Statistics, GENES, issue 55-56, pages 27-67.
  2. Nigel Driffield & Max Munday & Annette Roberts, 2002. "Foreign Direct Investment, Transactions Linkages, and the Performance of the Domestic Sector," International Journal of the Economics of Business, Taylor & Francis Journals, vol. 9(3), pages 335-351.
  3. Miranda, Karen & Martínez Ibáñez, Oscar & Manjón Antolín, Miguel C., 2016. "Estimating individual effects and their spatial spillovers in linear panel data models: Public capital spillovers after all?," Working Papers 2072/321479, Universitat Rovira i Virgili, Department of Economics.
  4. George R. G. Clarke & Robert P. Strauss, 1998. "Children as Income‐Producing Assets: The Case of Teen Illegitimacy and Government Transfers," Southern Economic Journal, John Wiley & Sons, vol. 64(4), pages 827-856, April.
  5. Jan Tin, 2000. "Life-cycle hypothesis, propensities to save, and demand for financial assets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 24(2), pages 110-121, June.
  6. Jacobs, Kris, 2007. "Consumption-leisure nonseparabilities in asset market participants' preferences," Journal of Monetary Economics, Elsevier, vol. 54(7), pages 2131-2138, October.
  7. Berger, Allen N. & DeYoung, Robert, 1997. "Problem loans and cost efficiency in commercial banks," Journal of Banking & Finance, Elsevier, vol. 21(6), pages 849-870, June.
  8. Randall K. Filer & Jan Hanousek & Nauro F. Campos, 1999. "Do Stock Markets Promote Economic Growth," William Davidson Institute Working Papers Series 267, William Davidson Institute at the University of Michigan.
  9. So Im, Kyung & Ahn, Seung C. & Schmidt, Peter & Wooldridge, Jeffrey M., 1999. "Efficient estimation of panel data models with strictly exogenous explanatory variables," Journal of Econometrics, Elsevier, vol. 93(1), pages 177-201, November.
  10. Gorter, Cees & Hassink, Wolter & Nijkamp, Peter & Pels, Eric, 1997. "On the Endogeneity of Output in Dynamic Labour-Demand Models," Empirical Economics, Springer, vol. 22(3), pages 393-408.
  11. Gerhard Arminger, 1992. "Analyzing Panel Data with Non-Metric Dependent Variables: Probit Models, Generalized Estimating Equations, Missing Data and Absorbing States," Discussion Papers of DIW Berlin 59, DIW Berlin, German Institute for Economic Research.
  12. Badi H. Baltagi & Georges Bresson & James M. Griffin & Alain Pirotte, 2003. "Homogeneous, heterogeneous or shrinkage estimators? Some empirical evidence from French regional gasoline consumption," Empirical Economics, Springer, vol. 28(4), pages 795-811, November.
  13. Holger Ernst, 1999. "Führen Patentanmeldungen zu einem nachfolgenden Anstieg des Unternehmenserfolges? — Eine Panelanalyse," Schmalenbach Journal of Business Research, Springer, vol. 51(12), pages 1146-1168, December.
  14. Jong-Rong Chen & Chih-Hai Yang, 2005. "Technological knowledge, spillover and productivity: evidence from Taiwanese firm level panel data," Applied Economics, Taylor & Francis Journals, vol. 37(20), pages 2361-2371.
  15. Hujer Reinhard & Rodrigues Paulo J. M. & Wolf Katja, 2008. "Dynamic Panel Data Models with Spatial Correlation," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 228(5-6), pages 612-629, October.
  16. Phillips, Robert F., 2019. "A numerical equivalence result for generalized method of moments," Economics Letters, Elsevier, vol. 179(C), pages 13-15.
  17. Jože P. Damijan & Igor Masten, 2002. "Time Dependent Efficiency of Free Trade Agreements - The Case of Slovenia and the CEFTA Agreement," The Economic and Social Review, Economic and Social Studies, vol. 33(1), pages 147-160.
  18. Ahn, Seung Chan & Hoon Lee, Young & Schmidt, Peter, 2001. "GMM estimation of linear panel data models with time-varying individual effects," Journal of Econometrics, Elsevier, vol. 101(2), pages 219-255, April.
  19. Wooldridge, Jeffrey M., 1996. "Estimating systems of equations with different instruments for different equations," Journal of Econometrics, Elsevier, vol. 74(2), pages 387-405, October.
  20. Mario F. Bognanno & Michael P. Keane & Donghoon Yang, 2005. "The Influence of Wages and Industrial Relations Environments on the Production Location Decisions of U.S. Multinational Corporations," ILR Review, Cornell University, ILR School, vol. 58(2), pages 171-200, January.
  21. Andrew B. Bernard & J. Bradford Jensen, 2004. "Why Some Firms Export," The Review of Economics and Statistics, MIT Press, vol. 86(2), pages 561-569, May.
  22. Hayakawa, K. & Pesaran, M.H., 2012. "Robust Standard Errors in Transformed Likelihood Estimation of Dynamic Panel Models," Cambridge Working Papers in Economics 1224, Faculty of Economics, University of Cambridge.
  23. Dietrich Earnhart & Lubomir Lizal, 2002. "Effects of Ownership and Financial Status on Corporate Environmental Performance," CERGE-EI Working Papers wp203, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
  24. Simonetta Longhi & Peter Nijkamp & Jacques Poot, 2006. "Spatial Heterogeneity And The Wage Curve Revisited," Journal of Regional Science, Wiley Blackwell, vol. 46(4), pages 707-731, October.
  25. Shehu U.R. Aliyu & Sani Bawa, 2015. "Gravity model by panel data approach: empirical evidence from Nigeria," International Journal of Trade and Global Markets, Inderscience Enterprises Ltd, vol. 8(1), pages 42-57.
  26. Nilsen, Øivind Anti & Raknerud, Arvid & Skjerpen, Terje, 2011. "Using the Helmert-transformation to reduce dimensionality in a mixed model: Application to a wage equation with worker and firm heterogeneity," Discussion Paper Series in Economics 11/2011, Norwegian School of Economics, Department of Economics, revised 04 Oct 2011.
  27. Michael P. Keane, 2011. "Labor Supply and Taxes: A Survey," Journal of Economic Literature, American Economic Association, vol. 49(4), pages 961-1075, December.
  28. William C. Horrace & Kurt E. Schnier, 2010. "Fixed-Effect Estimation of Highly Mobile Production Technologies," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 92(5), pages 1432-1445.
  29. Thomas J. Kniesner & James P. Ziliak, 2002. "Tax Reform and Automatic Stabilization," American Economic Review, American Economic Association, vol. 92(3), pages 590-612, June.
  30. F. J. Ledesma-Rodríguez & M. Navarro-Ibánez & J. V. Pérez-Rodríguez, "undated". "Panel data and tourism demand. The case of Tenerife," Working Papers 99-17, FEDEA.
  31. Silvia TIEZZI, 2010. "Addiction and Smoking Behaviour in Italy," EcoMod2004 330600141, EcoMod.
  32. Baltagi, Badi H. & Griffin, James M., 1997. "Pooled estimators vs. their heterogeneous counterparts in the context of dynamic demand for gasoline," Journal of Econometrics, Elsevier, vol. 77(2), pages 303-327, April.
  33. Mr. Tushar Poddar, 2004. "Domestic Competition Spurs Exports: The Indian Example," IMF Working Papers 2004/173, International Monetary Fund.
  34. Bayoumi, Tamim & Lipworth, Gabrielle, 1998. "Japanese foreign direct investment and regional trade," Journal of Asian Economics, Elsevier, vol. 9(4), pages 581-607.
  35. Kazuhiko Hayakawa & M. Hashem Pesaran, 2012. "Robust Standard Errors in Transformed Likelihood Estimation of Dynamic Panel Data Models," Working Paper series 38_12, Rimini Centre for Economic Analysis.
  36. Baltagi, Badi H. & Blien, Uwe & Wolf, Katja, 2000. "The East German wage curve 1993-1998," Economics Letters, Elsevier, vol. 69(1), pages 25-31, October.
  37. Simon Gilchrist & Charles Himmelberg, 1999. "Investment: Fundamentals and Finance," NBER Chapters, in: NBER Macroeconomics Annual 1998, volume 13, pages 223-274, National Bureau of Economic Research, Inc.
  38. Ziliak, J.P. & Kniesner, T.J., 1996. "The Importance of Sample Attrition in Life Cycle Labor Supply," Other publications TiSEM 3112bb7a-53ca-42ee-88e4-a, Tilburg University, School of Economics and Management.
  39. Dierk Herzer & Felicitas Nowak-Lehmann D. & Inmaculada Martínez-Zarzoso & Sebastian Vollmer, "undated". "On Distributed Lags in Dynamic Panel Data Models: Evidence from Market Shares," Working Papers on International Economics and Finance 06-05, FEDEA.
  40. Henderson, Vernon, 1997. "Externalities and Industrial Development," Journal of Urban Economics, Elsevier, vol. 42(3), pages 449-470, November.
  41. Chamberlain, Gary, 2022. "Feedback in panel data models," Journal of Econometrics, Elsevier, vol. 226(1), pages 4-20.
  42. 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.
  43. Gowrisankaran Gautam & Town Robert & Barrette Eric, 2011. "Managed Care, Drug Benefits and Mortality: An Analysis of the Elderly," The B.E. Journal of Economic Analysis & Policy, De Gruyter, vol. 11(2), pages 1-32, January.
  44. Kris Jacobs, 2001. "Estimating Nonseparable Preference Specifications for Asset Market Participants," CIRANO Working Papers 2001s-12, CIRANO.
  45. Zvi Griliches & Jacques Mairesse, 1995. "Production Functions: The Search for Identification," NBER Working Papers 5067, National Bureau of Economic Research, Inc.
  46. Ernst, Holger, 2001. "Patent applications and subsequent changes of performance: evidence from time-series cross-section analyses on the firm level," Research Policy, Elsevier, vol. 30(1), pages 143-157, January.
  47. Ms. Cemile Sancak, 2002. "Financial Liberalization and Real Investment: Evidence From Turkish Firms," IMF Working Papers 2002/100, International Monetary Fund.
  48. Stanislav Anatolyev, 2007. "Optimal Instruments In Time Series: A Survey," Journal of Economic Surveys, Wiley Blackwell, vol. 21(1), pages 143-173, February.
  49. Devdatta Ray & Mikael Linden, 2020. "Health expenditure, longevity, and child mortality: dynamic panel data approach with global data," International Journal of Health Economics and Management, Springer, vol. 20(1), pages 99-119, March.
  50. Ahn, Seung C. & Lee, Young H. & Schmidt, Peter, 2013. "Panel data models with multiple time-varying individual effects," Journal of Econometrics, Elsevier, vol. 174(1), pages 1-14.
  51. Keane, Michael, 2010. "The Tax-Transfer System and Labour Supply," MPRA Paper 55167, University Library of Munich, Germany.
  52. Huang, Daisy J. & Leung, Charles K. & Qu, Baozhi, 2015. "Do bank loans and local amenities explain Chinese urban house prices?," China Economic Review, Elsevier, vol. 34(C), pages 19-38.
  53. 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.
  54. Harry Bloch & James McDonald, 2001. "Import Competition and Labor Productivity," Journal of Industry, Competition and Trade, Springer, vol. 1(3), pages 301-319, September.
  55. Hahn, Jinyong, 1997. "Efficient estimation of panel data models with sequential moment restrictions," Journal of Econometrics, Elsevier, vol. 79(1), pages 1-21, July.
  56. Orazio P. Attanasio & Martin Browning, 1994. "Testing the life cycle model consumption: what can we learn from micro and macro data?," Investigaciones Economicas, Fundación SEPI, vol. 18(3), pages 433-463, September.
  57. Jan Hanousek & Eugene Kroch, 1998. "The two waves of voucher privatization in the Czech Republic: a model of learning in sequential bidding," Applied Economics, Taylor & Francis Journals, vol. 30(1), pages 133-143.
  58. Andrew Bernard & Joachim Wagner, 2001. "Export entry and exit by German firms," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 137(1), pages 105-123, March.
  59. 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.
  60. James P. Ziliak & Craig Gundersen & David N. Figlio, 2003. "Food Stamp Caseloads over the Business Cycle," Southern Economic Journal, John Wiley & Sons, vol. 69(4), pages 903-919, April.
  61. Stoker, Thomas M. & Berndt, Ernst R. & Denny Ellerman, A. & Schennach, Susanne M., 2005. "Panel data analysis of U.S. coal productivity," Journal of Econometrics, Elsevier, vol. 127(2), pages 131-164, August.
  62. Wansbeek, Tom, 2001. "GMM estimation in panel data models with measurement error," Journal of Econometrics, Elsevier, vol. 104(2), pages 259-268, September.
  63. Shulian Zhang, 2005. "Consumption Behaviour Under Institutional Transitions in China," School of Economics and Finance Discussion Papers and Working Papers Series 189, School of Economics and Finance, Queensland University of Technology.
  64. Attanasio, Orazio P., 1995. "The intertemporal allocation of consumption: theory and evidence," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 42(1), pages 39-56, June.
  65. Antonio Lopes & Luca Giordano, 2006. "Risk Preference and Investments Quality as Determinants of Efficiency in the Italian Banking System," Quaderni DSEMS 12-2006, Dipartimento di Scienze Economiche, Matematiche e Statistiche, Universita' di Foggia.
  66. Orazio P. Attanasio & Hamish Low, 2004. "Estimating Euler Equations," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 7(2), pages 405-435, April.
  67. Donald W.K. Andrews & Biao Lu, 1999. "Consistent Model and Moment Selection Criteria for GMM Estimation with Applications to Dynamic Panel Data Models," Cowles Foundation Discussion Papers 1233, Cowles Foundation for Research in Economics, Yale University.
  68. Robert F. Phillips, 2020. "Quantifying the Advantages of Forward Orthogonal Deviations for Long Time Series," Computational Economics, Springer;Society for Computational Economics, vol. 55(2), pages 653-672, February.
  69. Silvia Tiezzi, 2005. "An empirical analysis of tobacco addiction in Italy," The European Journal of Health Economics, Springer;Deutsche Gesellschaft für Gesundheitsökonomie (DGGÖ), vol. 6(3), pages 233-243, September.
  70. Kim, Mina & Cho, Guedae & Koo, Won W., 2004. "The Pattern Of Bilateral Trade Using A Dynamic Gravity Equation," 2004 Annual meeting, August 1-4, Denver, CO 20248, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  71. Felix FitzRoy & Michael Funke, 1994. "Real wages, investment and employment: New evidence from West German sectoral data," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 130(2), pages 258-272, June.
  72. Hsiao, Cheng & Hashem Pesaran, M. & Kamil Tahmiscioglu, A., 2002. "Maximum likelihood estimation of fixed effects dynamic panel data models covering short time periods," Journal of Econometrics, Elsevier, vol. 109(1), pages 107-150, July.
  73. Haque, N. U. & Pesaran, M. H. & Sharma, Sunil, 1999. "Neglected Heterogeneity and Dynamics in Cross-country Savings Regressions," Cambridge Working Papers in Economics 9904, Faculty of Economics, University of Cambridge.
  74. Michael Keane & Richard Rogerson, 2015. "Reconciling Micro and Macro Labor Supply Elasticities: A Structural Perspective," Annual Review of Economics, Annual Reviews, vol. 7(1), pages 89-117, August.
  75. Trapani, Lorenzo & Urga, Giovanni, 2009. "Optimal forecasting with heterogeneous panels: A Monte Carlo study," International Journal of Forecasting, Elsevier, vol. 25(3), pages 567-586, July.
  76. Orazio P. Attanasio, 1998. "Consumption Demand," NBER Working Papers 6466, National Bureau of Economic Research, Inc.
  77. Hayakawa, Kazuhiko, 2019. "Alternative over-identifying restriction test in the GMM estimation of panel data models," Econometrics and Statistics, Elsevier, vol. 10(C), pages 71-95.
  78. A. Pirotte, 2003. "Convergence of the static estimation toward the long-run effects of dynamic panel data models: a labour demand illustration," Applied Economics Letters, Taylor & Francis Journals, vol. 10(13), pages 843-847.
  79. Ben Maatoug, Abderrazek & Ben Ayed, Wassim & Ftiti, Zied, 2019. "Are MENA banks’ capital buffers countercyclical? Evidence from the Islamic and conventional banking systems," The Quarterly Review of Economics and Finance, Elsevier, vol. 74(C), pages 109-118.
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  84. Øivind A. Nilsen & Arvid Raknerud & Terje Skjerpen, 2017. "Estimation of a model for matched panel data with high-dimensional two-way unobserved heterogeneity," Empirical Economics, Springer, vol. 53(4), pages 1657-1680, December.
  85. J. P. Ziliak & C. Gundersen & D. N. Figlio, "undated". "Welfare Reform and Food Stamp Caseload Dynamics," Institute for Research on Poverty Discussion Papers 1215-00, University of Wisconsin Institute for Research on Poverty.
  86. Andrews, Donald W. K. & Lu, Biao, 2001. "Consistent model and moment selection procedures for GMM estimation with application to dynamic panel data models," Journal of Econometrics, Elsevier, vol. 101(1), pages 123-164, March.
  87. Felicitas Nowak-Lehmann D. & Dierk Herzer & Sebastian Vollmer & Inmaculada Martínez-Zarzoso, 2006. "Problems in Applying Dynamic Panel Data Models: Theoretical and Empirical Findings," Ibero America Institute for Econ. Research (IAI) Discussion Papers 140, Ibero-America Institute for Economic Research.
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  91. Earnhart, Dietrich & Lizal, Lubomir, 2006. "Effects of ownership and financial performance on corporate environmental performance," Journal of Comparative Economics, Elsevier, vol. 34(1), pages 111-129, March.
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