Another look at the instrumental variable estimation of error-components models

Journal of Econometrics - Tập 68 - Trang 29-51 - 1995
Manuel Arellano1, Olympia Bover2
1CEMFI, 28014 Madrid, Spain
2Research Department, Bank of Spain, 28014 Madrid, Spain

Tài liệu tham khảo

Ahn, 1995 Amemiya, 1986, Instrumental-variable estimation of an error-components model, Econometrica, 54, 869, 10.2307/1912840 Anderson, 1982, Formulation and estimation of dynamic models using panel data, Journal of Econometrics, 18, 47, 10.1016/0304-4076(82)90095-1 Arellano, 1991, Some tests of specification for panel data: Monte Carlo evidence and an application to employment equations, Review of Economic Studies, 58, 277, 10.2307/2297968 Balestra, 1966, Pooling cross section and time series data in the estimation of a dynamic model: The demand for natural gas, Econometrica, 34, 585, 10.2307/1909771 Bhargava, 1983, Estimating dynamic random effects models from panel data covering short time periods, Econometrica, 51, 1635, 10.2307/1912110 Breusch, 1989, Efficient estimation using panel data, Econometrica, 57, 695, 10.2307/1911060 Chamberlain, 1982, Multivariate regression models for panel data, Journal of Econometrics, 18, 5, 10.1016/0304-4076(82)90094-X Chamberlain, 1984, Panel data, Vol. 2, 1247 Chamberlain, 1987, Asymptotic efficiency in estimation with conditional moment restrictions, Journal of Econometrics, 34, 305, 10.1016/0304-4076(87)90015-7 Chamberlain, 1992, Efficiency bounds for semiparametric regression, Econometrica, 60, 567, 10.2307/2951584 Chamberlain, 1992, Comment: Sequential moment restrictions in panel data, Journal of Business and Economic Statistics, 10, 20, 10.2307/1391799 Hansen, 1982, Large sample properties of generalized method of moments estimators, Econometrica, 50, 1029, 10.2307/1912775 Hausman, 1981, Panel data and unobservable individual effects, Econometrica, 49, 1377, 10.2307/1911406 Hayashi, 1983, Nearly efficient estimation of time series models with predetermined, but not exogenous, instruments, Econometrica, 51, 783, 10.2307/1912158 Holtz-Eakin, 1988, Estimating vector autoregressions with panel data, Econometrica, 56, 1371, 10.2307/1913103 Schmidt, 1992, Comment, Journal of Business and Economic Statistics, 10, 10, 10.2307/1391796 White, 1982, Instrumental variables regression with independent observations, Econometrica, 50, 483, 10.2307/1912639