کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5097606 | 1376598 | 2006 | 23 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
GMM estimators with improved finite sample properties using principal components of the weighting matrix, with an application to the dynamic panel data model
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: GMM estimators with improved finite sample properties using principal components of the weighting matrix, with an application to the dynamic panel data model GMM estimators with improved finite sample properties using principal components of the weighting matrix, with an application to the dynamic panel data model](/preview/png/5097606.png)
چکیده انگلیسی
GMM estimators have poor finite sample properties in highly overidentified models. With many moment conditions the optimal weighting matrix is poorly estimated. We suggest using principal components of the weighting matrix. This effectively drops some of the moment conditions. Our simulations, done in the context of the dynamic panel data model, show that the resulting GMM estimator has better finite sample properties than the usual two-step GMM estimator, in the sense of smaller bias and more reliable standard errors.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 133, Issue 1, July 2006, Pages 387-409
Journal: Journal of Econometrics - Volume 133, Issue 1, July 2006, Pages 387-409
نویسندگان
Howard E. Doran, Peter Schmidt,