Half-panel jackknife estimation for dynamic panel models
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DOI: 10.1016/j.econlet.2020.109082
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… read more here.
Keywords: panel jackknife; half panel; dynamic panel; jackknife estimation ... See more keywords