The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators

By Javier Álvarez, M. Arellano. 2003

666 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/0d62c7c900676e46b7b9b192e5650242d23a0ec3

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In Economics and Econometrics

Citations in the corpus

Model Averaging and Its Use in Economics (2017, methodology): “Moral-Benito (2012) considers such a dynamic panel model within the BMA approach by combining the likelihood function discussed in Alvarez and Arellano (2003) with the unit information g-prior.”
The optimal choice of moments in dynamic panel data models (2009, methodology): “To show the order of each term, we frequently employ results in Alvarez and Arellano (2003).”
On the Causal Links between FDI and Growth in Developing Countries (2006, neutral): “5 Here a sufficient condition for consistency and asymptotic normality is that 0 → N T as N and T tends to infinity (Alvarez and Arellano 2003).”
Temperature and Growth: A Panel Analysis of the United States (2016, neutral): “These estimators remain consistent when T (the number of time periods) and N (the number of states) and the number of instruments is large (Alvarez and Arellano (2003)).”
Asymmetric Capital Structure Adjustments: New Evidence from Dynamic Panel Threshold Models (2012, methodology): “Our estimation approach extends static panel threshold modeling (Hansen, 1999) by combining the existing timeseries techniques on threshold models (Chan, 1993; Hansen, 2000) and advanced methods for dynamic panels (Alvarez and Arellano, 2003).”
Testing Slope Homogeneity in Large Panels (2005, neutral): “This paper proposes a modified version of the test proposed by Swamy (1970) that applies to panel data models where the cross section dimension could be large relative to the time series dimension.”
Greenhouse gases emissions, growth and the energy mix in Europe: a dynamic panel data approach (2009, methodology): “Third, the use of instruments potentially allows consistent estimation even in the presence of transient measurement errors (Bond et al., 2001). of equations in both first-differences and levels, where the instruments in the level equations are lagged first differences of the variables.12 Using simu”
Dynamic Models for Short Panels (2008, background): “Indeed, a misspecication in this respect would lead to inconsistent estimators in most situations (see Section 5 below as well as Nerlove (2002), or Alvarez and Arellano (2003), for a more detailed treatment of maximum likelihood estimation of dynamic models).”
Dynamic panels with threshold effect and endogeneity (2016, neutral): “…delegates at Symposium on Econometric Theory and Applications, Kyoto University, August 2009, Computational and Financial Econometrics Annual Conference at University of London, December 2010, and Asia Meeting of Econometric Society, Korea University, Seoul, August 2011 for their helpful comments.”
GMM ESTIMATION FOR DYNAMIC PANELS WITH FIXED EFFECTS AND STRONG INSTRUMENTS AT UNITY (2009, neutral): “…robust feature of the asymptotics is unique to our approach and differs substantially from the existing literature, including recent contributions by Hahn and Kuersteiner (2002), Alvarez and Arellano (2003), and Moon, Perron, and Phillips (2005), who analyze various cases with large n and large T .”
Penalized Quantile Regression for Dynamic Panel Data (2010, background): “See, for example, Arellano and Hahn (2007) for a survey, and Hahn and Kuersteiner (2002, 2003), Alvarez and Arellano (2003), Hahn and Newey (2004), Arellano and Hahn (2006), Bester and Hansen (2009), for specific approaches.”
Grouped Patterns of Heterogeneity in Panel Data (2015, background): “(1) (2) (3) (4) (5) (6) (7) (8) (9) (10)”
Is Economic Recovery a Myth? Robust Estimation of Impulse Responses (2014, neutral): “Although this bias can be large in finite samples (see Judson andOwen, (1999) and Alvarez and Arellano, (2003) for simulation results), it disappears as panels become longer.”
Average and Quantile Effects in Nonseparable Panel Models (2009, methodology): “Bias-corrected, fixedeffects estimation of semiparametric models has been proposed by Hahn and Kuersteiner (2002), Alvarez and Arellano (2003), Woutersen (2002), Hahn and Newey (2004), and Fernández-Val (2009).”
Robust priors in nonlinear panel data models (2007, methodology): “Next, we consider the dynamic AR(1) model:”