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Symmetrically normalized instrumental-variable estimation using panel data

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dc.affiliation.dptoUC3M. Departamento de Economíaes
dc.contributor.authorAlonso-Borrego, César
dc.contributor.authorArellano, Manuel
dc.date.accessioned2012-11-29T13:11:54Z
dc.date.available2012-11-29T13:11:54Z
dc.date.issued1999-01
dc.description.abstractWe discuss the estimation of linear panel-data models with sequential moment restrictionsu sing symmetricallyn or malizedg eneralized method of moments( GMM) estimators( SNM)and limited information maximuml i kelihood( LIML)analogues These es imators are asymptotically equivalent to standardG MMb ut are invariantto normalizationan dt end to havea smallerf inite-samplbe ias, especiallyw hen the instruments are poor. We study their properties in relation to ordinary GMM and minimum distancee stimators for AR(1)model swith individual effects by mean of simulations. Finally, as empirical ilustrations, we estimate by SNM and LML employment and wage equations using panels of U.K. and Spanish firm.
dc.description.sponsorshipThe first author acknowledges research funding from a CEMFIP h.D. scholarship and from the Spanish DGES, Grant PB95-0292
dc.description.statusPublicado
dc.format.mimetypeapplication/pdf
dc.format.mimetypetext/plain
dc.identifier.bibliographicCitationJournal of Business & Economics Statistics, (Enero 1999), v. 17, n. 1, pp. 36-49
dc.identifier.issn0735-0015
dc.identifier.publicationfirstpage36
dc.identifier.publicationissue1
dc.identifier.publicationlastpage49
dc.identifier.publicationtitleJournal of Business & Economics Statistics
dc.identifier.publicationvolume17
dc.identifier.urihttp://hdl.handle.net/10016/4655
dc.language.isoeng
dc.publisherAmerican Statistical Association
dc.relation.isversionofhttp://hdl.handle.net/10016/4098
dc.relation.publisherversionhttp://www.jstor.org/stable/pdfplus/1392237.pdf
dc.rights© American Statistical Association
dc.rights.accessRightsopen access
dc.subject.ecienciaEconomía
dc.subject.otherAutoregressive models
dc.subject.otherDynamic panel data
dc.subject.otherEmployment equations
dc.subject.otherGeneralized method of moments
dc.subject.otherMonte Carlo methods
dc.subject.otherSymmetric normalization
dc.titleSymmetrically normalized instrumental-variable estimation using panel data
dc.typeresearch article*
dc.type.hasVersionAM*
dc.type.reviewPeerReviewed
dspace.entity.typePublication
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