Efficient estimation of panel data models with sequential moment restrictions

被引：30

作者：

Hahn, J

机构：

[1] Department of Economics, University of Pennsylvania, Philadelphia, PA 19104

来源：

JOURNAL OF ECONOMETRICS | 1997年 / 79卷 / 01期

关键词：

panel data; sequential moment restriction; efficient estimation;

D O I：

10.1016/S0304-4076(97)00012-2

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper considers asymptotically efficient estimation of the panel data models with sequential moment restrictions in an environment with i.i.d. observations. It is shown that the GMM estimator with an increasing set of instruments attains the semiparametric efficiency bound of the model. The estimator considered here allows for the heteroscedasticity of the unknown form.

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页码：1 / 21

页数：21

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