THE ASYMPTOTIC PROPERTIES OF THE SYSTEM GMM ESTIMATOR IN DYNAMIC PANEL DATA MODELS WHEN BOTH N AND T ARE LARGE

By Kazuhiko Hayakawa. Econometric Theory, 2015

56 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

Dynamic Spatial Panel Models: Networks, Common Shocks, and Sequential Exogeneity (2018, background): “By Assumption 3 a consistent estimator of V is Ṽn = diag T−1 t=1 ( V h t,n + 2V a t,n ) , (26)”
In Search of Robust Methods for Dynamic Panel Data Models in Empirical Corporate Finance (2015, unknown): “, Judson and Owen (1999); Hayakawa (2012)), although, asymptotically, there should be no effect on methods that completely eliminate the fixed effects.”
Dynamic panels with threshold effect and endogeneity (2016, unknown): “…time periods are short, though there is a huge literature on GMM estimation of linear dynamic panels with heterogeneous individual effects, e.g., Arellano and Bond (1991), Ahn and Schmidt (1995), Arellano and Bover (1995), Blundell and Bond (1998), Alvarez and Arellano (2003), and Hayakawa (2012).”