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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… Click to show full 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.
Keywords:
panel jackknife;
half panel;
dynamic panel;
jackknife estimation;
panel
Journal Title: Economics Letters
Year Published: 2020
Link to full text (if available)
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Journal Title: Economics Letters
Year Published: 2020
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!