Efficient Estimation in Panel Data Partially Additive Linear Model with Serially Correlated Errors

2013 ◽  
Author(s):  
Jinhong You ◽  
Xian Zhou
Keyword(s):  
Panel Data ◽  
Linear Model ◽  
Efficient Estimation ◽  
Correlated Errors

scholarly journals Instrument relevance and efficient estimation with panel data

2006 ◽  
Vol 93 (2) ◽  
pp. 305-310 ◽  
Author(s):  
Rachid Boumahdi ◽  
Alban Thomas
Keyword(s):  
Panel Data ◽  
Efficient Estimation

Level-Based Estimation of Dynamic Panel Models

2019 ◽  
Vol 9 (1) ◽  
Author(s):  
Gabriel Montes-Rojas ◽  
Walter Sosa-Escudero ◽  
Federico Zincenko
Keyword(s):  
Monte Carlo ◽  
Panel Data ◽  
Dynamic Panel Data ◽  
Data Models ◽  
Efficient Estimation ◽  
Panel Data Models ◽  
Dynamic Panel ◽  
Dynamic Panel Data Models ◽  
Moment Conditions ◽  
Optimal Estimator

AbstractThis paper develops an alternative estimator for linear dynamic panel data models based on parameterizing the covariances between covariates and unobserved time-invariant effects. A GMM framework is used to derive an optimal estimator based on moment conditions in levels, with no efficiency loss compared to the classic alternatives like (Arellano, M., and S. Bond. 1991. “Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations.” Review of Economic Studies 58 (2): 277–297), (Ahn, S. C., and P. Schmidt. 1995. “Efficient Estimation of Models for Dynamic Panel Data.” Journal of Econometrics 68 (1): 5–27) and (Ahn, S. C., and P. Schmidt. 1997. “Efficient Estimation of Dynamic Panel Data Models: Alternative Assumptions and Simplified Estimation.” Journal of Econometrics 76: 309–321). Still, we show analytically and by Monte Carlo simulations that the new procedure leads to efficiency improvements for certain data generating processes. The framework also leads to a very simple test for unobserved effects.

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