Symmetrically normalized instrumental-variable estimation using panel data

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dc.contributor.author Alonso-Borrego, César
dc.contributor.author Arrellano, Manuel
dc.contributor.editor Universidad Carlos III de Madrid. Departamento de Economía
dc.date.accessioned 2009-05-04T11:04:12Z
dc.date.available 2009-05-04T11:04:12Z
dc.date.issued 1996-07
dc.identifier.issn 2340-5031
dc.identifier.uri http://hdl.handle.net/10016/4098
dc.description.abstract In this paper we discuss the estimation of panel data models with sequential moment restrictions using symmetrically normalized GMM estimators. These estimators are asymptotically equivalent to standard GMM but are invariant to normalization and tend to have a smaller finite sample bias. They also have a very different behaviour compared to standard GMM when the instruments are poor. We study the properties of SN-GMM estimators in relation to GMM, minimum distance and pseudo maximum likelihood estimators for various versions of the AR(1) model with individual effects by mean of simulations. The emphasis is not in assessing the value of enforcing particular restrictions in the model; rather, we wish to evaluate the effects in small samples of using alternative estimating criteria that produce asymptotically equivalent estimators for fixed T and large N. Finally, as an empírical illustration, we estimate by SN-GMM employment and wage equations using panels of UK and Spanish firms.
dc.format.mimetype application/pdf
dc.language.iso eng
dc.relation.ispartofseries UC3M Working Papers. Statistics and Econometrics
dc.relation.ispartofseries 1996-45-16
dc.relation.hasversion http://hdl.handle.net/10016/4655
dc.rights Atribución-NoComercial-SinDerivadas 3.0 España
dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.other Panel data
dc.subject.other Instrumental variables
dc.subject.other Symmetric normalization
dc.subject.other Autoregressive models
dc.subject.other Employment equations
dc.title Symmetrically normalized instrumental-variable estimation using panel data
dc.type workingPaper
dc.subject.eciencia Economía
dc.rights.accessRights openAccess
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