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Online Supplement to An Incidental Parameters Free Inference Approach for Panels with Common Shocks

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  • Juodis, Arturas
  • Sarafidis, Vasilis

Abstract

This paper is an online supplementary appendix to "An Incidental Parameters Free Inference Approach for Panels with Common Shocks". Section S.1 of the present Supplementary Appendix studies the properties of the proposed GMM estimators under fixed T asymptotics. Section S.2 analyses the effect of transforming the model in terms of time-specific cross-sectional averages on the proposed estimating equations. Section S.3 considers identification-robust inference, building upon the idea of Anderson and Rubin (1949) and Stock and Wright (2000). Finally, Section S.4 discusses local and global identification for the panel AR(1) model and reports additional Monte Carlo results for this model.

Suggested Citation

  • Juodis, Arturas & Sarafidis, Vasilis, 2020. "Online Supplement to An Incidental Parameters Free Inference Approach for Panels with Common Shocks," MPRA Paper 104908, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:104908
    as

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    File URL: https://mpra.ub.uni-muenchen.de/104908/2/MPRA_paper_104908.pdf
    File Function: original version
    Download Restriction: no
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    References listed on IDEAS

    as
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    2. Dovonon, Prosper & Hall, Alastair R. & Kleibergen, Frank, 2020. "Inference in second-order identified models," Journal of Econometrics, Elsevier, vol. 218(2), pages 346-372.
    3. Guido M. Kuersteiner & Ingmar R. Prucha, 2020. "Dynamic Spatial Panel Models: Networks, Common Shocks, and Sequential Exogeneity," Econometrica, Econometric Society, vol. 88(5), pages 2109-2146, September.
    4. Isaiah Andrews & Anna Mikusheva, 2016. "Conditional Inference With a Functional Nuisance Parameter," Econometrica, Econometric Society, vol. 84, pages 1571-1612, July.
    5. Marcelo J. Moreira, 2003. "A Conditional Likelihood Ratio Test for Structural Models," Econometrica, Econometric Society, vol. 71(4), pages 1027-1048, July.
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    10. Anderson, T. W. & Hsiao, Cheng, 1982. "Formulation and estimation of dynamic models using panel data," Journal of Econometrics, Elsevier, vol. 18(1), pages 47-82, January.
    11. Artūras Juodis & Vasilis Sarafidis, 2022. "A Linear Estimator for Factor-Augmented Fixed-T Panels With Endogenous Regressors," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 40(1), pages 1-15, January.
    12. Isaiah Andrews & Anna Mikusheva, 2016. "Conditional Inference With a Functional Nuisance Parameter," Econometrica, Econometric Society, vol. 84(4), pages 1571-1612, July.
    13. Maurice J.G. Bun & Sarafidis, V., 2013. "Dynamic Panel Data Models," UvA-Econometrics Working Papers 13-01, Universiteit van Amsterdam, Dept. of Econometrics.
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    18. Donald Robertson & Vasilis Sarafidis & Joakim Westerlund, 2018. "Unit Root Inference in Generally Trending and Cross-Correlated Fixed-T Panels," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 36(3), pages 493-504, July.
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    More about this item

    Keywords

    Common Factors; GMM; Incidental Parameter Problem; Endogenous Regressors; U-statistic;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C18 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Methodolical Issues: General
    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models

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