File Name: formulation and estimation of dynamic models using panel data .zip
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Journal of the American statistical Association 76 , , Journal of the American Statistical Association 74 , , Department of Applied Economics, University of Cambridge , Journal of Economic Dynamics and Control 4, , Journal of Economic Dynamics and Control 1 4 , , Journal of Applied Econometrics 27 5 , , Economic development and Cultural change 51 4 , ,
The Econometrics of Panel Data pp Cite as. This should not be forgotten as we embark on this study. Unable to display preview. Download preview PDF. Skip to main content.
This chapter provides an overview of topics in nonstationary panels: panel unit root tests, panel cointegration tests, and estimation of panel cointegration models. In addition it surveys recent developments in dynamic panel data models. Baltagi, B. Emerald Group Publishing Limited. Report bugs here.
Anderson and Cheng Hsiao Journal of Econometrics , , vol. Amemiya , A. Gallant , J. Geweke , C.
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This chapter conducts a Monte Carlo investigation into small sample properties of some of the dynamic panel data estimators that have been applied to estimate the growth-convergence equation using Summers-Heston data set. The results show that the OLS estimation of this equation is likely to yield seriously upward biased estimates. However, indiscriminate use of panel estimators is also risky, because some of them display large bias and mean square error.
Endogeneity in panel data regressions: methodological guidance for corporate finance researchers. Lucas A. The traditional OLS, RE, and FE estimators may be inconsistent in the presence of endogeneity problems that are quite plausible in the context of corporate finance. On the other hand, the estimation methods for panel data based on GMM that use assumptions of sequential exogeneity of the regressors present alternatives that are capable of effectively overcoming all the problems listed provided these assumptions are valid even if the researcher does not have good instrumental variables that are external to the model. The paper discusses and illustrates a greater number of endogeneity problems, showing how they are addressed by different estimators for panel data, using less technical and more accessible language for researchers not yet initiated in the intricacies of estimating dynamic models for panel data. A large proportion of empirical studies in corporate finance use panel data, observing N firms over T time periods typically, with a much lower T than N. The data are derived from financial statements, market quotations, and management reports, among other sources, often with the aim of relating variables and discerning to what extent an independent variable explanatory variable or regressor influences the behavior of the dependent variable response variable.
This paper investigates the quasi-maximum likelihood estimation of short dynamic panel data models. We consider their estimation on both fixed effects and random effects specifications and propose a Hausman test when exogenous variables are present. For a dynamic panel model, initial conditions play important roles in model structure and estimation, and they give rise to a between equation under the random effects framework. With the between equation properly defined, we show that the random effects model can be decomposed into a within equation and a between equation; hence, the random effects estimate is a pooling of the within and between estimates. Thus, our paper extends the pooling in the static panel data model Maddala, a to the setting of dynamic panel data.
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This paper presents an empirical analysis on electricity demand in Indonesia applying a double-log demand equation for aggregate and residential.Reply