For maximum likelihood methods that are employed to analyze limited dependent variables, we discuss semi-parametric methods which allow one to replace sometimes restrictive distributional assumptions on the errors. For GMM, which is already a semi-parametric estimation method, we discuss how to replace the Jacobian identification method. The resulting GMM procedures are so called weak instrument robust and we discuss several papers in this area. We also discuss linear and non-linear panel data methods which are commonly applied. Here we focus on the identification of the parameters with a special emphasis on linear dynamic panel data models.
Topics: semi-parametric estimation, (linear dynamic) panel data models, weak instruments in linear instrumental variables regression models and GMM, empirical likelihood methods.
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