Finite-sample comparison of alternative methods for estimating dynamic panel data models

2011 ◽  
Vol 27 (7) ◽  
pp. 1189-1204 ◽  
Author(s):  
Alpaslan Akay
Keyword(s):  
Panel Data ◽  
Dynamic Panel Data ◽  
Data Models ◽  
Alternative Methods ◽  
Panel Data Models ◽  
Finite Sample ◽  
Dynamic Panel ◽  
Dynamic Panel Data Models

scholarly journals Estimation of Nonlinear Dynamic Panel Data Models with Individual Effects

2014 ◽  
Vol 2014 ◽  
pp. 1-7 ◽  
Author(s):  
Yi Hu ◽  
Dongmei Guo ◽  
Ying Deng ◽  
Shouyang Wang
Keyword(s):  
Panel Data ◽  
Asymptotic Distribution ◽  
Nonlinear Dynamic ◽  
Generalized Method Of Moments ◽  
Dynamic Panel Data ◽  
Data Models ◽  
Panel Data Models ◽  
Finite Sample ◽  
Dynamic Panel ◽  
Dynamic Panel Data Models

This paper suggests a generalized method of moments (GMM) based estimation for dynamic panel data models with individual specific fixed effects and threshold effects simultaneously. We extend Hansen’s (Hansen, 1999) original setup to models including endogenous regressors, specifically, lagged dependent variables. To address the problem of endogeneity of these nonlinear dynamic panel data models, we prove that the orthogonality conditions proposed by Arellano and Bond (1991) are valid. The threshold and slope parameters are estimated by GMM, and asymptotic distribution of the slope parameters is derived. Finite sample performance of the estimation is investigated through Monte Carlo simulations. It shows that the threshold and slope parameter can be estimated accurately and also the finite sample distribution of slope parameters is well approximated by the asymptotic distribution.

Bias-corrected method of moments estimators for dynamic panel data models

2021 ◽  
Author(s):  
Jörg Breitung ◽  
Sebastian Kripfganz ◽  
Kazuhiko Hayakawa
Keyword(s):  
Panel Data ◽  
Method Of Moments ◽  
Dynamic Panel Data ◽  
Data Models ◽  
Panel Data Models ◽  
Dynamic Panel ◽  
Dynamic Panel Data Models ◽  
Moments Estimators

Dynamic panel data models in tourism

2018 ◽  
Vol 22 (4) ◽  
pp. 379-399 ◽  
Author(s):  
Ángeles Gallego ◽  
M. Ángeles Rodríguez-Serrano ◽  
Cristóbal Casanueva
Keyword(s):  
Panel Data ◽  
Dynamic Panel Data ◽  
Data Models ◽  
Panel Data Models ◽  
Dynamic Panel ◽  
Dynamic Panel Data Models

scholarly journals Forecasting with Dynamic Panel Data Models

2016 ◽  
Author(s):  
Laura Liu ◽  
Hyungsik Roger Moon
Keyword(s):  
Panel Data ◽  
Dynamic Panel Data ◽  
Data Models ◽  
Panel Data Models ◽  
Dynamic Panel ◽  
Dynamic Panel Data Models
Sign in / Sign up

Export Citation Format

Share Document