Moment Conditions for Dynamic Panel Data Models with Multiplicative Individual Effects in the Conditional Variance
AbstractMoment conditions are derived for dynamic linear panel data models with linear individual specific effects in the mean and multiplicative individual effects in the conditional ARCH type variance function. The relation and correlation between the linear and multiplicative effects are unrestrained. Moment conditions are derived for non-autocorrelated error processes, MA(q) processes, and for models that allow for time varying parameters on both the linear mean effects and multiplicative variance effects. The small sample performance of a GMM estimator is investigated in a Monte Carlo simulation study.
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Bibliographic InfoArticle provided by ENSAE in its journal Annals of Economics and Statistics.
Volume (Year): (1999)
Issue (Month): 55-56 ()
Other versions of this item:
- Meghir, C & Windmeijer, F, 1999. "Moment conditions for dynamic panel data models with multiplicative individual effects in the conditional variance," Open Access publications from University College London http://discovery.ucl.ac.u, University College London.
- Costas Meghir & Frank Windmeijer, 1997. "Moment conditions for dynamic panel data models with multiplicative individual effects in the conditional variance," IFS Working Papers W97/21, Institute for Fiscal Studies.
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Longitudinal Data; Spatial Time Series
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