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Efficient GMM Estimation of Spatial Dynamic Panel Data Models
Spatial autoregression Dynamic panels Fixed effects Generalized method of moment
2016/1/26
In this paper we derive the asymptotic properties of GMM estimators for the spatial dynamic panel data model with fixed effects when n is large, and T can be large, but small relative to n. The GMM es...
Efficient GMM Estimation of Spatial Dynamic Panel Data Models
Spatial autoregression Dynamic panels Fixed effects
2016/1/20
In this paper we derive the asymptotic properties of GMM estimators for the spatial dynamic panel data model with fixed effects when n is large, and T can be large, but small relative to n. The GMM es...
Effcient GMM estimation of spatial dynamic panel data models with fixed effects
Spatial autoregression Dynamic panels Fixed e¤ects Generalized method of moment Many moments
2016/1/19
In this paper we derive the asymptotic properties of GMM estimators for the spatial dynamic panel data model with …xed e¤ects when n is large, and T can be large, but small relative to n. The GMM esti...
本文基于2003～2009年中国制造业上市公司面板数据,运用附加融资约束变量的增广生产函数和系统广义矩估计方法,研究国企和民企资金可获得性在影响生产率方面的差异。结果发现,上市公司生产率从总体上看不受制于内源融资,但按所有制分类后,只有民企存在融资约束并显著影响生产率,生产率高的民企通常拥有丰裕的内源资金;进一步按流动性与负债状况分类后仍不改变结论,而且流动性差、负债率高的民企所受约束更加严重。
产业集聚会促进地方化知识溢出,知识溢出又会影响区域创新效率。一直以来,存在两种结构性争论:究竟是产业专业化还是多元化、是地方竞争还是地方垄断,更有利于知识溢出和创新?基于我国2000-2007年省级制造业的面板数据,运用GMM方法,进行了实证检验。结果表明,产业集聚促进了区域创新,专业化的产业结构和竞争性的市场结构对知识溢出和创新有着更为显著的影响。结果还显示,基础设施和外商投资对不同类型的创新作...
集聚、知识溢出类型与区域创新效率——基于省级动态面板数据的GMM方法
创新效率 动态面板数据 广义矩估计
2012/9/17
产业集聚会促进地方化知识溢出,知识溢出又会影响区域创新效率。一直以来,存在两种结构性争论:究竟是产业专业化还是多元化、是地方竞争还是地方垄断,更有利于知识溢出和创新?基于我国2000-2007年省级制造业的面板数据,运用GMM方法,进行了实证检验。结果表明,产业集聚促进了区域创新,专业化的产业结构和竞争性的市场结构对知识溢出和创新有着更为显著的影响。结果还显示,基础设施和外商投资对不同类型的创新作...
B-CAPM模型的GMM估计和检验
CAPM模型 B-CAPM模型 GMM方法 估计和检验
2014/4/8
作为资本资产定价模型（CAPM）的发展之一，B-CAPM模型更适合于复杂多变的现实资本市场。本文首先分析从CAPM到B-CAPM的模型转化及其理论含义，然后迭代求出B-CAPM模型的零贝塔期望收益的极大似然估计值（MLE），最后通过案例，实证运用GMM方法构建B-CAPM的估计和检验。结果表明，B-CAPM模型适用于证券市场收益和风险的度量以及有效性检验，GMM方法更符合实际。
Semiparametric efficiency in GMM models with auxiliary data
Semiparametric efficiency bounds GMM measurement error missing data auxiliary data sieve estimation
2010/4/29
We study semiparametric efficiency bounds and efficient estimation
of parameters defined through general moment restrictions with
missing data. Identification relies on auxiliary data containing inf...
R-Estimates vs. GMM：A Theoretical Case Study of Validity and Efficiency
Attributable effects efficiency robustness generalized method of moments group rank test
2010/4/26
What role should assumptions play in inference?We present
a small theoretical case study of a simple, clean case, namely the nonparametric
comparison of two continuous distributions using (essential...