GMM Estimation from Incomplete and Rotating Panels
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Título: | GMM Estimation from Incomplete and Rotating Panels |
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Autor/es: | Albarrán, Pedro | Arellano, Manuel |
Grupo/s de investigación o GITE: | Economía Laboral y Econometría (ELYE) |
Centro, Departamento o Servicio: | Universidad de Alicante. Departamento de Fundamentos del Análisis Económico |
Palabras clave: | GMM | Overlapping Moment Conditions | Unbalanced Panels |
Área/s de conocimiento: | Fundamentos del Análisis Económico |
Fecha de publicación: | jun-2019 |
Editor: | GENES | ADRES |
Cita bibliográfica: | Annals of Economics and Statistics. 2019, 134: 5-42. doi:10.15609/annaeconstat2009.134.0005 |
Resumen: | We consider the general problem of estimation and testing from a sequence of overlapping moment conditions generated by incomplete or rotating panel data. The crucial idea of our suggested method is to separate the problem of moment choice from that of estimation of optimal instruments. We propose a cross-sample GMM estimator that forms direct estimates of individual-specific optimal instruments pooling all the information available in the sample. We compare cross-sample GMM with the pooled and expanded GMM estimators discussed in Arellano and Bond (1991) for dynamic linear models with fixed effects. Cross-sample GMM is asymptotically equivalent to expanded GMM and asymptotically more efficient than pooled GMM. Moreover, Monte Carlo experiments and an empirical illustration show that, contrary to expanded GMM, cross-sample GMM performs well in finite samples, even with severe unbalancedness. |
Patrocinador/es: | The first author acknowledges research funding from the Spanish Ministry of Education, Grants ECO2014-05721 and ECO2017-87069-P. |
URI: | http://hdl.handle.net/10045/95408 |
ISSN: | 0769-489X | 2272-6497 (Online) |
DOI: | 10.15609/annaeconstat2009.134.0005 |
Idioma: | eng |
Tipo: | info:eu-repo/semantics/article |
Derechos: | © Annals of Economics and Statistics |
Revisión científica: | si |
Versión del editor: | https://doi.org/10.15609/annaeconstat2009.134.0005 |
Aparece en las colecciones: | INV - ELYE - Artículos de Revistas |
Archivos en este ítem:
Archivo | Descripción | Tamaño | Formato | |
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2019_Albarran_Arellano_AnnEconStat_final.pdf | Versión final (acceso restringido) | 442,44 kB | Adobe PDF | Abrir Solicitar una copia |
2019_Albarran_Arellano_AnnEconStat_preprint.pdf | Preprint (acceso abierto) | 1,29 MB | Adobe PDF | Abrir Vista previa |
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