2 citations · 3 across the 5 of their papers we have counts for
5 papers
A Simple Interactive Fixed Effects Estimator for Short Panels
Robert F. Phillips, Benjamin D. Williams
We study the interactive effects (IE) model as an extension of the conventional additive effects (AE) model. For the AE model, the fixed effects estimator can be obtained by applyi…
Forward Orthogonal Deviations GMM and the Absence of Large Sample Bias
Robert F. Phillips
It is well known that generalized method of moments (GMM) estimators of dynamic panel data regressions can have significant bias when the number of time periods () is not small…
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…
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…
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…