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Half-panel jackknife estimation for dynamic panel models

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  • Mehic, Adrian

Abstract

This paper extends the half-panel jackknife (HPJ) estimator to GMM models with fixed effects. The Monte Carlo results show that the HPJ significantly reduces finite-sample bias for both the difference and system GMM estimators of the dynamic panel model.

Suggested Citation

  • Mehic, Adrian, 2020. "Half-panel jackknife estimation for dynamic panel models," Economics Letters, Elsevier, vol. 190(C).
    • Handle: RePEc:eee:ecolet:v:190:y:2020:i:c:s0165176520300781
    DOI: 10.1016/j.econlet.2020.109082
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    References listed on IDEAS

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    1. Yonghui Zhang & Qiankun Zhou, 2020. "Correction for the Asymptotical Bias of the Arellano-Bond type GMM Estimation of Dynamic Panel Models," Advances in Econometrics, in: Essays in Honor of Cheng Hsiao, volume 41, pages 1-24, Emerald Group Publishing Limited.
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    5. Geert Dhaene & Koen Jochmans, 2015. "Split-panel Jackknife Estimation of Fixed-effect Models," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 82(3), pages 991-1030.
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    Cited by:

    1. Adrian Mehic, 2021. "FDML versus GMM for Dynamic Panel Models with Roots Near Unity," JRFM, MDPI, vol. 14(9), pages 1-9, August.

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    More about this item

    Keywords

    Dynamic panel data; GMM; Jackknife;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models

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