The Effects of Dynamic Feedbacks on LS and MM Estimator Accuracy in Panel Data Models

By M. Bun, Jan F. Kiviet. 2006

228 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/90f7c175f433ddbe9295a1190fddcda349da41a2

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In Economics and Econometrics

Citations in the corpus

THE ASYMPTOTIC PROPERTIES OF THE SYSTEM GMM ESTIMATOR IN DYNAMIC PANEL DATA MODELS WHEN BOTH N AND T ARE LARGE (2015, unknown): “⎦ ( 10 ) Let Z all t = diag(Z d1 t ,Z l1 t ), Z min t = diag(Z d2 t ,Z l2 t ), and Z bb t = diag(Z d1 t ,Z l2 t ). Then”
ESTIMATION OF UNIT ROOT SPATIAL DYNAMIC PANEL DATA MODELS (2010, background): “moments (Alvarez and Arellano 2003, Bun and Kiviet 2006 ).”
Indirect Inference for Dynamic Panel Models (2010, background): “In other circumstances, when the number of moment conditions becomes large, the GMM/IV estimator also suffers from large finite sample bias (Bun and Kiviet, 2006, Ziliak, 1997).”
A SIMPLE EFFICIENT INSTRUMENTAL VARIABLE ESTIMATOR FOR PANEL AR(p) MODELS WHEN BOTH N AND T ARE LARGE (2009, unknown): “Also, asymptotic variances in (10) and (11) suggest that for given N and T , the dispersion of α̂ GMM and α̂ IV becomes smaller as α1 grows.”
Political budget cycles in the European Union and the impact of political pressures (2011, methodology): “Bun and Kiviet (2006), who analyse the finite sample properties of various least squares 11To do so, we follow an approach similar to that adopted by Shi and Svensson (2002, 2006) and classify an election to be predetermined if either (i) the election occurs in the last year of a constitutional…”
Likelihood-Based Estimation of Dynamic Panels With Predetermined Regressors (2013, background): “16See Chamberlain (1982) and Abowd and Card (1989) for detailed analyses on the estimation and testing of covariance structures from panel data.”
Two-Stage Instrumental Variable Estimation of Linear Panel Data Models with Interactive Effects (2020, background): “We set SNR = 4, which lies within the values considered by Bun and Kiviet (2006) and Juodis and Sarafidis (2018).”
A test of cross section dependence for a linear dynamic panel model with regressors (2009, methodology): “As it has been discussed by Kiviet (1995), Blundell and Bond (1998), and Bun and Kiviet (2006), in order to compare the performance of estimators across di¤erent experimental designs it is important to control the relative importance of i and ("it, ft).”
Dynamic panel data modelling using maximum likelihood: an alternative to Arellano-Bond (2018, unknown): “This particular DGP corresponds to scheme 2 in Bun and Kiviet (2006), which is more realistic than their baseline scheme 1, considered for convenience in the evaluation of their analytical results.”
Bootstrap-based bias correction for dynamic panels (2007, methodology): “We therefore investigate the performance of the bootstrap corrected LSDV estimator in settings for which, to the best of our knowledge, analytical corrections are not Note that bias approximations for the LSDV estimator are also derived for dynamic panels with weakly exogenous regressors (see Kiviet”