Engineering robust instruments for GMM estimation of panel data regression models with errors in variables: a note

Testing Fama–French’s new five-factor asset pricing model: evidence from robust instruments

“…To compute the robust instruments used in the GMM estimator, we follow closely our previous works (Racicot and Théoret 2014;Racicot 2015).…”

The Pástor-Stambaugh empirical model revisited: Evidence from robust instruments

“…Finally, the approach used in this paper can be extended to a panel data framework along the lines discussed in Racicot (2015 Tables Table 1 Descriptive statistics for the Fama-French 12 sector factors 1962m08 -2012m12…”

Impact of derivatives markets on economic growth in some of the major world economies: A difference-GMM panel data estimation (2002-2014)

“…The main advantage of the panel data framework is that individual effects or heterogeneity can be tackled by allowing the constant term to vary across individuals (Greene, 2012;Racicot, 2015). There are certainly and number of disadvantages and limitations associated with panel data analysis; because the data are more complex to analyze, they do not consider heterogeneity or individuality.…”