Long difference instrumental variables estimation for dynamic panel models with fixed effects

By Jinyong Hahn, Jerry A. Hausman, G. Kuersteiner. 2007

174 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/eb922736ccef2d0e5427005fc9a257709e13de89

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In Economics and Econometrics

Citations in the corpus

Asymmetric Capital Structure Adjustments: New Evidence from Dynamic Panel Threshold Models (2012, background): “`it − `i,t−k = δ (`it − `i,t−k) + vit, k > 1, which alleviates the problem of weak instruments and relies on a smaller set of moment conditions, so that its small-sample performance is arguably more reliable than the standard GMM estimators (Hahn et al., 2007).”
Testing Theories of Capital Structure and Estimating the Speed of Adjustment (2009, unknown): “Hovakimian (2006) and Kayhan and Titman (2007) suggest that the importance of the external finance weighted average of historical market-to-book ratios in Baker and Wurgler (2002) is driven by the mean value of historical market-to-book ratios.”
A SIMPLE EFFICIENT INSTRUMENTAL VARIABLE ESTIMATOR FOR PANEL AR(p) MODELS WHEN BOTH N AND T ARE LARGE (2009, unknown): “We consider the cases of (T,N) = (10,100), (10,500), (15,100), (15,300), (20,100), (20,200), (50,100), and (100,100).”
Estimating Dynamic Panel Models in Corporate Finance (2013, unknown): “In part because the AB and BB instruments are invalidated by second-order autocorrelation (Baltagi (2008)), Hahn et al. (2007) derived a " long difference " instrumental variable estimation technique.”
The Value of a Statistical Life: Evidence from Panel Data (2012, background): “If ∆ ≥ 2 then measurement error effects are mitigated in equation (2) relative to within-differences regression (Griliches and Hausman 1986; Hahn, Hausman, and Kuersteiner 2007).”
The Dynamics of Cash (2010, methodology): “LD (long differencing) estimator is similar to the one proposed by Hahn, Hausman, and Kuersteiner (2007) and implemented by Huang and Ritter (2009) using 2SLS: , , 1 ∙ 32 Firm Characteristic Variables: Cash Flow is measured as earnings less interest and taxes (ibq+dpq), divided by total assets…”
THE ASYMPTOTIC PROPERTIES OF THE SYSTEM GMM ESTIMATOR IN DYNAMIC PANEL DATA MODELS WHEN BOTH N AND T ARE LARGE (2015, background): “In line with the former approach, Hahn, Hausman, and Kuersteiner (2007), Han and Phillips (2010), and Han, Phillips, and Sul (2014) propose variants of IV/GMM estimators, while Hayakawa and Pesaran (2012) extend the ML approach of Hsiao et al. (2002) to allow for crosssectional heteroskedasticity.”
Empirical Capital Structure: A Review (2009, unknown): “Because leverage is highly persistent, Huang and Ritter use Hahn et al.’s (2007) recommendation of using a long differencing estimator for highly persistent time series.”
In Search of Robust Methods for Dynamic Panel Data Models in Empirical Corporate Finance (2015, unknown): “A number of iterations (at least three) are often required to ensure that the parameters can be estimated efficiently (Hahn et al., 2007).”
Accuracy and Efficiency of Various GMM Inference Techniques in Dynamic Micro Panel Data Models (2017, background): “[6], Kiviet [7], Kruiniger [8], Okui [9], Roodman [10], Hayakawa [11] and Han and Phillips [12] just concern the panel AR(1) model under homoskedasticity.”
Penalized Quantile Regression for Dynamic Panel Data (2010, methodology): “Moreover, Wang, Li, and Jiang (2007) note that in the least absolute deviation regression the l1-penalty can do parameter estimation and variable selection simultaneously.”