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A new extension of the exponential distribution, proposed by Nadarajah and Haghighi (Statistics 45, 543–558 (2011)), is an alternative to the gamma, Weibull and generalized-exponential models, it is also known as NH distribution. The maximum likelihood and Bayes inferential approaches for estimating the unknown two-parameters and some lifetime parameters such as survival and hazard rate functions of the NH distribution in presence of progressive first-failure censored sampling are considered. Based on observed Fisher’s information matrix, the approximate confidence intervals for the two-parameters, and any function of them, are constructed. Using Lindley’s approximation and Markov chain Monte Carlo methods under the assumption of conjugate gamma priors, the Bayes estimates and associate highest posterior density credible intervals for the unknown parameters and reliability characteristics are developed based on squared error loss function. Although the proposed estimators cannot be expressed in explicit forms, these can be easily obtained through the use of appropriate numerical techniques. A Monte Carlo simulation study is carried out to examine the performance of proposed methods. Using different optimality criteria, an optimal censoring scheme has been suggested. Finally, a real data set is analyzed for illustration purposes.

ABSTRACT:In dynamic panel data (DPD) models, thegeneralized method of moments (GMM) estimation gives efficient estimators. However, this efficiency is affected by the choice of the initial weighting matrix. In practice, the inverse of the moment matrix of the instruments has been used as an initial weighting matrix which led to a loss of efficiency. Therefore, we will present new GMM estimators based on optimal or suboptimal weighting matrices in GMM estimation. Monte Carlo study indicates that the potential efficiency gain by using these matrices. Moreover, the bias and efficiency of the new GMM estimators are more reliable than any other conventional GMM estimators. KEYWORDS:Dynamic panel data,Generalized method of moments, Monte Carlo simulation, Optimal and suboptimal weighting matrices.I. INTRODUCTIONThe econometrics literatures focus on three types of GMM estimators when studying the DPD models. The First is first-difference GMM (DIF) estimator which presented by Arellano and Bond [4], and the second is level GMM (LEV) estimator which presented by Arellano and Bover [5], while the third is system GMM (SYS) estimator which presented byBlundell and Bond [6]. Since the SYS estimator combines moment conditions of DIF and LEV estimators, and it is generally known that using many instruments can improve the efficiency of various GMM estimators (Arellano and Bover[5]; Ahn and Schmidt [2]; Blundell and Bond [6]). Therefore, the SYS estimator is more efficient than DIF and LEV estimators. Despite the substantial efficiency gain, using many instruments has two important drawbacks: increased bias and unreliable inference (Newey and Smith [10]; Hayakawa [8]). Moreover, the SYS estimator does not always work well; Bun and Kiviet [7] showed that the bias of SYS estimator becomes large when the autoregressive parameter is close to unity and/or when the ratio of the variance of the individual effect to that of the error term departs from unity.In general, an asymptotically efficient estimator can be obtained through the two-step procedure in the standard GMM estimation. In the first step, an initial positive semidefinite weighting matrix is used to obtain consistent estimates of the parameters. Given these consistent estimates, a weighting matrix can be constructed and used for asymptotically efficient two-step estimates. Arellano and Bond [4] showed that the two-step estimated standard errors have a small sample downward bias in DPD setting, and one-step estimates with robust standard errors are often preferred. Although an efficient weighting matrix for DIF estimator under the assumption that the errors are homoskedastic and are not serially correlated is easily derived, this is not the case for the LEV and SYS estimators.In this paper, we will present new LEV and SYS estimators based on optimal or suboptimal weighting matrices, without increase of the moment conditions of these estimators. The new GMM estimators are more efficiency than the conventional GMM estimators.

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