{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,10,5]],"date-time":"2025-10-05T04:14:56Z","timestamp":1759637696986},"reference-count":25,"publisher":"Cambridge University Press (CUP)","issue":"6","license":[{"start":{"date-parts":[[2017,11,2]],"date-time":"2017-11-02T00:00:00Z","timestamp":1509580800000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":["www.cambridge.org"],"crossmark-restriction":true},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[2018,12]]},"abstract":"<jats:p>We consider the method of moments estimation of a structural equation in a panel dynamic simultaneous equations model under different sample size combinations of cross-sectional dimension,<jats:italic>N<\/jats:italic>, and time series dimension,<jats:italic>T<\/jats:italic>. Two types of linear transformation to remove the individual-specific effects from the model, first difference and forward orthogonal demeaning, are considered. We show that the Alvarez and Arellano (2003) type GMM estimator under both transformations is consistent only if<jats:inline-formula><jats:alternatives><jats:graphic xmlns:xlink=\"http:\/\/www.w3.org\/1999\/xlink\" orientation=\"portrait\" mime-subtype=\"gif\" mimetype=\"image\" position=\"float\" xlink:type=\"simple\" xlink:href=\"S0266466617000421_inline1\" \/><jats:tex-math>${T \\over N} \\to 0$<\/jats:tex-math><\/jats:alternatives><\/jats:inline-formula>as<jats:inline-formula><jats:alternatives><jats:graphic xmlns:xlink=\"http:\/\/www.w3.org\/1999\/xlink\" orientation=\"portrait\" mime-subtype=\"gif\" mimetype=\"image\" position=\"float\" xlink:type=\"simple\" xlink:href=\"S0266466617000421_inline2\" \/><jats:tex-math>$\\left( {N,T} \\right) \\to \\infty $<\/jats:tex-math><\/jats:alternatives><\/jats:inline-formula>. However, it is asymptotically biased if<jats:inline-formula><jats:alternatives><jats:graphic xmlns:xlink=\"http:\/\/www.w3.org\/1999\/xlink\" orientation=\"portrait\" mime-subtype=\"gif\" mimetype=\"image\" position=\"float\" xlink:type=\"simple\" xlink:href=\"S0266466617000421_inline3\" \/><jats:tex-math>${{{T^3}} \\over N} \\to \\kappa \\ne 0 &lt; \\infty$<\/jats:tex-math><\/jats:alternatives><\/jats:inline-formula>as<jats:inline-formula><jats:alternatives><jats:graphic xmlns:xlink=\"http:\/\/www.w3.org\/1999\/xlink\" orientation=\"portrait\" mime-subtype=\"gif\" mimetype=\"image\" position=\"float\" xlink:type=\"simple\" xlink:href=\"S0266466617000421_inline4\" \/><jats:tex-math>$\\left( {N,T} \\right) \\to \\infty $<\/jats:tex-math><\/jats:alternatives><\/jats:inline-formula>. Since the validity of statistical inference depends critically on whether an estimator is asymptotically unbiased, we suggest a jackknife bias reduction method and derive its limiting distribution. Monte Carlo studies are conducted to demonstrate the importance of using an asymptotically unbiased estimator to obtain valid statistical inference.<\/jats:p>","DOI":"10.1017\/s0266466617000421","type":"journal-article","created":{"date-parts":[[2017,11,2]],"date-time":"2017-11-02T10:53:46Z","timestamp":1509620026000},"page":"1325-1369","update-policy":"http:\/\/dx.doi.org\/10.1017\/policypage","source":"Crossref","is-referenced-by-count":3,"title":["JIVE FOR PANEL DYNAMIC SIMULTANEOUS EQUATIONS MODELS"],"prefix":"10.1017","volume":"34","author":[{"given":"Cheng","family":"Hsiao","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Qiankun","family":"Zhou","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"56","published-online":{"date-parts":[[2017,11,2]]},"reference":[{"key":"S0266466617000421_ref12","doi-asserted-by":"crossref","first-page":"290","DOI":"10.1016\/j.jeconom.2014.04.022","article-title":"Instrumental variables estimation with many weak instruments using regularized JIVE","volume":"182","author":"Hansen","year":"2014","journal-title":"Journal of Econometrics"},{"key":"S0266466617000421_ref14","doi-asserted-by":"crossref","first-page":"223","DOI":"10.1016\/S1573-4412(83)01008-9","volume-title":"Handbook of Econometrics","volume":"vol. 1","author":"Hsiao","year":"1982"},{"key":"S0266466617000421_ref16","doi-asserted-by":"crossref","first-page":"312","DOI":"10.1016\/j.jeconom.2015.01.008","article-title":"IV, GMM or MLE to estimate dynamic panel data models","volume":"187","author":"Hsiao","year":"2015","journal-title":"Journal of Econometrics"},{"key":"S0266466617000421_ref19","volume-title":"Econometric Models, Techniques, and Applications","author":"Intriligator","year":"1996"},{"key":"S0266466617000421_ref21","doi-asserted-by":"crossref","first-page":"251","DOI":"10.1016\/j.jeconom.2017.06.009","article-title":"Many IVs estimation of dynamic panel regression models with measurement error","volume":"200","author":"Lee","year":"2017","journal-title":"Journal of Econometrics"},{"key":"S0266466617000421_ref22","doi-asserted-by":"crossref","first-page":"111","DOI":"10.1093\/oxfordhb\/9780199940042.013.0004","volume-title":"Oxford Handbook of Panel Data","author":"Moon","year":"2015"},{"key":"S0266466617000421_ref8","doi-asserted-by":"crossref","first-page":"29","DOI":"10.1016\/0304-4076(94)01642-D","article-title":"Another look at the instrumental variable estimation of error-components models","volume":"68","author":"Arellano","year":"1995","journal-title":"Journal of Econometrics"},{"key":"S0266466617000421_ref25","doi-asserted-by":"crossref","first-page":"1057","DOI":"10.1111\/1468-0262.00070","article-title":"Linear regression limit theory for nonstationary panel data","volume":"67","author":"Phillips","year":"1999","journal-title":"Econometrica"},{"key":"S0266466617000421_ref20","doi-asserted-by":"crossref","first-page":"174","DOI":"10.1016\/j.jeconom.2014.03.003","article-title":"Efficient GMM estimation of spatial dynamic panel data models with fixed effects","volume":"180","author":"Lee","year":"2014","journal-title":"Journal of Econometrics"},{"key":"S0266466617000421_ref24","doi-asserted-by":"crossref","first-page":"219","DOI":"10.2307\/2525779","article-title":"The bias of instrumental variable estimators of simultaneous equation systems","volume":"18","author":"Phillips","year":"1977","journal-title":"International Economic Review"},{"key":"S0266466617000421_ref17","doi-asserted-by":"crossref","first-page":"383","DOI":"10.1016\/j.jeconom.2015.03.031","article-title":"Statistical inference for panel dynamic simultaneous equations models","volume":"189","author":"Hsiao","year":"2015","journal-title":"Journal of Econometrics"},{"key":"S0266466617000421_ref13","volume-title":"Studies in Econometric Method. 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