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The optimal choice of moments in dynamic panel data models

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  • Okui, Ryo
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Abstract

This paper derives an approximation of the mean square error (MSE) of the GMM estimator in dynamic panel data models. The approximation is based on higher-order asymptotic theory under double asymptotics. While first-order theory under double asymptotics provides information about the bias, it does not provide enough information about the variance of the estimator. Higher-order theory enables us to obtain information about the variance. From this result, a procedure for choosing the number of instruments is proposed. The simulations confirm that the proposed procedure improves the precision of the estimator.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 151 (2009)
Issue (Month): 1 (July)
Pages: 1-16

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Handle: RePEc:eee:econom:v:151:y:2009:i:1:p:1-16

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Web page: http://www.elsevier.com/locate/jeconom

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Keywords: GMM Dynamic panel data model Higher-order expansion Moment selection;

References

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Citations

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Cited by:
  1. Ivan Savin & Peter Winker, 2010. "Heuristic Optimization Methods for Dynamic Panel Data Model Selection. Application on the Russian Innovative Performance," Working Papers 027, COMISEF.
  2. Magnac, Thierry & Pistolesi, Nicolas & Roux, Sébastien, 2013. "Post schooling human capital investments and the life cycle variance of earnings," TSE Working Papers 13-380, Toulouse School of Economics (TSE).
  3. Bohdan Yu. Kyshakevych & Anatoliy K. Prykarpatsky & Denis Blackmore & Ivan P. Tverdokhlib, 2010. "Statistically Optimal Strategy Analysis of a Competing Portfolio Market with a Polyvariant Profit Function," Papers 1005.2661, arXiv.org.
  4. Salima Bouayad-Agha & Nadine Turpin & Lionel Védrine, 2010. "Fostering the potential endogenous development of European regions: a spatial dynamic panel data analysis of the Cohesion Policy on regional convergence over the period 1980-2005," TEPP Working Paper 2010-17, TEPP.
  5. Lee, Nayoung & Moon, Hyungsik Roger & Weidner, Martin, 2012. "Analysis of interactive fixed effects dynamic linear panel regression with measurement error," Economics Letters, Elsevier, vol. 117(1), pages 239-242.
  6. Mariangela Bonasia, 2012. "Twenty years of internal migration in Italy. Answers from some economic and non-economic determinants," Discussion Papers 6_2012, CRISEI, University of Naples "Parthenope", Italy.
  7. Ziesemer, Thomas, 2012. "The impact of development aid on education and health: Survey and new evidence from dynamic models," MERIT Working Papers 057, United Nations University - Maastricht Economic and Social Research Institute on Innovation and Technology (MERIT).
  8. Miyazaki, Tomomi, 2013. "Fiscal Policy and Regional Business Cycle Fluctuations in Japan," Discussion Paper Series 583, Institute of Economic Research, Hitotsubashi University.
  9. Kazuhiko Hayakawa, 2008. "On the Effect of Nonstationary Initial Conditions in Dynamic Panel Data Models," Hi-Stat Discussion Paper Series d07-245, Institute of Economic Research, Hitotsubashi University.
  10. Reinhard Hujer & Paulo J.M. Rodrigues & Katja Wolf, 2008. "Dynamic Panel Data Models with Spatial Correlation," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), Justus-Liebig University Giessen, Department of Statistics and Economics, vol. 228(5+6), pages 612-629, December.

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