GMM estimators with improved finite sample properties using principal components of the weighting matrix, with an application to the dynamic panel data model

By H. Doran, P. Schmidt. 2006

64 citations recorded by the source corpus.

Subfields: Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/60a441da02bdfc46eb71b703fdfe7f7f1337dff8

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In Economics and Econometrics

1. M. Carrasco
2. Jean-Pierre Florens
3. Christian Hansen
4. Liangjun Su
5. Nathan Kallus
6. Jushan Bai
7. Barbara Rossi
8. Serena Ng

Citations in the corpus

• A regularization approach to the many instruments problem (2012, background): “In this literature, it is assumed that there is a …xed number of factors, but this does not have to be the case here. Doran and Schmidt (2006)”
• Interpreting pre-trends as anticipation: Impact on estimated treatment effects from tort reform (2015, unknown): “sample problems associated with two-step GMM estimation (Doran and Schmidt 2006; Judson and Owen 1999).”