3 papers
econ.EM2019
A Comparison of First-Difference and Forward Orthogonal Deviations GMM
Robert F. Phillips
This paper provides a necessary and sufficient instruments condition assuring two-step generalized method of moments (GMM) based on the forward orthogonal deviations transformation…
econ.EM2018
Quantifying the Computational Advantage of Forward Orthogonal Deviations
Robert F. Phillips
Under suitable conditions, one-step generalized method of moments (GMM) based on the first-difference (FD) transformation is numerically equal to one-step GMM based on the forward…
math.ST2017
Quasi Maximum-Likelihood Estimation of Dynamic Panel Data Models
Robert F. Phillips
This paper establishes the almost sure convergence and asymptotic normality of levels and differenced quasi maximum-likelihood (QML) estimators of dynamic panel data models. The QM…