This chapter reviews developments to improve on the poor performance of the standard
GMM estimator for highly autoregressive panel series. It considers the use of the …

Monte Carlo studies have shown that estimated asymptotic standard errors of the efficient
two-step generalized method of moments (GMM) estimator can be severely downward …

Instrumental variables can be used to estimate the causal effects of exposures on outcomes
in the presence of residual or uncontrolled confounding. To assess the validity of analyses …

For regression models other than the linear model, R-squared type goodness-of-fit summary
statistics have been constructed for particular models using a variety of methods. We …

We consider testing for weak instruments in a model with multiple endogenous variables.
Unlike Stock and Yogo (2005), who considered a weak instruments problem where the rank …

In this paper we examine the panel data estimation of dynamic models for count data that
include correlated fixed effects and predetermined variables. Use of a linear feedback model …

Background Mendelian randomization (MR) is a powerful tool in epidemiology that can be
used to estimate the causal effect of an exposure on an outcome in the presence of …

The system GMM estimator for dynamic panel data models combines moment conditions for
the model in first differences with moment conditions for the model in levels. It has been …

The generalized method of moments (GMM) estimation technique is discussed for count
data models with endogenous regressors. Count data models can be specified with additive …

R-squared measures of goodness of fit for count data are rarely, if ever, reported in empirical
studies or by statistical packages. We propose several R-squared measures based on …