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Efficient Estimation of Non-Linear Dynamic Panel Data Models with Application to Smooth Transition Models

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Author Info

  • Tue Gørgens

    ()
    (The Australian National University)

  • Christopher L. Skeels

    ()
    (The University of Melbourne)

  • Allan H. Würtz

    ()
    (School of Economics and Management, University of Aarhus and CREATES)

Abstract

This paper explores estimation of a class of non-linear dynamic panel data models with additive unobserved individual-specific effects. The models are specified by moment restrictions. The class includes the panel data AR(p) model and panel smooth transition models. We derive an efficient set of moment restrictions for estimation and apply the results to estimation of panel smooth transition models with fixed effects, where the transition may be determined endogenously. The performance of the GMM estimator, both in terms of estimation precision and forecasting performance, is examined in a Monte Carlo experiment. We find that estimation of the parameters in the transition function can be problematic but that there may be significant benefits in terms of forecast performance.

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Bibliographic Info

Paper provided by School of Economics and Management, University of Aarhus in its series CREATES Research Papers with number 2009-51.

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Length: 27
Date of creation: 01 Oct 2009
Date of revision:
Handle: RePEc:aah:create:2009-51

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Web page: http://www.econ.au.dk/afn/

Related research

Keywords: Dynamic panel data models; fixed effects; GMM estimation; smooth transition;

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