Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/171152 
Erscheinungsjahr: 
2017
Schriftenreihe/Nr.: 
CESifo Working Paper No. 6688
Verlag: 
Center for Economic Studies and ifo Institute (CESifo), Munich
Zusammenfassung: 
This paper contributes to the GMM literature by introducing the idea of self-instrumenting target variables instead of searching for instruments that are uncorrelated with the errors, in cases where the correlation between the target variables and the errors can be derived. The advantage of the proposed approach lies in the fact that, by construction, the instruments have maximum correlation with the target variables and the problem of weak instrument is thus avoided. The proposed approach can be applied to estimation of a variety of models such as spatial and dynamic panel data models. In this paper we focus on the latter and consider both univariate and multivariate panel data models with short time dimension. Simple Bias-corrected Methods of Moments (BMM) estimators are proposed and shown to be consistent and asymptotically normal, under very general conditions on the initialization of the processes, individual-speci.c e¤ects, and error variances allowing for heteroscedasticity over time as well as cross-sectionally. Monte Carlo evidence document BMM.s good small sample performance across di¤erent experimental designs and sample sizes, including in the case of experiments where the system GMM estimators are inconsistent. We also .nd that the proposed estimator does not su¤er size distortions and has satisfactory power performance as compared to other estimators.
Schlagwörter: 
short-t dynamic panels
GMM
weak instrument problem
quadratic moment conditions
panel VARs
Monte Carlo evidence
JEL: 
C12
C13
C23
Dokumentart: 
Working Paper
Erscheint in der Sammlung:

Datei(en):
Datei
Größe





Publikationen in EconStor sind urheberrechtlich geschützt.