M
Manuel Arellano
Researcher at CEMFI
Publications - 86
Citations - 50416
Manuel Arellano is an academic researcher from CEMFI. The author has contributed to research in topics: Estimator & Panel data. The author has an hindex of 36, co-authored 85 publications receiving 45041 citations. Previous affiliations of Manuel Arellano include University of Oxford & London School of Economics and Political Science.
Papers
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Journal ArticleDOI
Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations.
Manuel Arellano,Stephen Bond +1 more
TL;DR: In this article, the generalized method of moments (GMM) estimator optimally exploits all the linear moment restrictions that follow from the assumption of no serial correlation in the errors, in an equation which contains individual effects, lagged dependent variables and no strictly exogenous variables.
Journal ArticleDOI
Another look at the instrumental variable estimation of error-components models
Manuel Arellano,Olympia Bover +1 more
TL;DR: In this paper, a framework for efficient IV estimators of random effects models with information in levels which can accommodate predetermined variables is presented. But the authors do not consider models with predetermined variables that have constant correlation with the effects.
MonographDOI
Panel data econometrics
TL;DR: In this paper, the authors present an overview of the state-of-the-art models for static and dynamic error components, including autoregressive models with individual effects and models with predetermined variabilities.
Journal ArticleDOI
The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators
Javier Alvarez,Manuel Arellano +1 more
TL;DR: In this article, the authors derived the asymptotic properties of within groups (WG), GMM, and LIML estimators for an autoregressive model with random effects when both T and N tend to infinity.
Journal ArticleDOI
Symmetrically normalized instrumental-variable estimation using panel data
TL;DR: In this article, the estimation of linear panel-data models with sequential moment restrictions using symmetrically normalized generalized method of moments estimators (SNM) and limited information maximum likelihood (LIML) analogues is discussed.