This file is part of IDEAS , which uses RePEc data
[ Papers |
Articles |
Software |
Books |
Chapters |
Authors |
Institutions |
JEL Classification |
NEP reports |
Search |
New papers by email |
Author registration |
Rankings |
Volunteers |
FAQ |
Blog |
Help! ]
Panel Data Models with Multiple Time-Varying Individual Effects Author info | Abstract | Publisher info | Download info | Related research | Statistics Seung C. Ahn () (Dept. of Economics, W.P. Carey School of Business, Arizona State University, Tempe, AZ 85287)
Young H. Lee (Hansung University)
Peter Schmidt (Michigan State University)
Additional information is available for the following
registered author(s):
This paper considers a panel data model with time-varying individual effects. The data are assumed to contain a large number of cross-sectional units repeatedly observed over a fixed number of time periods. The model has a feature of the fixed-effects model in that the effects are assumed to be correlated with the regressors. The unobservable individual effects are assumed to have a factor structure. For consistent estimation of the model, it is important to estimate the true number of factors. We propose a generalized methods of moments procedure by which both the number of factors and the regression coefficients can be consistently estimated. Some important identification issues are also discussed. Our simulation results indicate that the proposed methods produce reliable estimates.
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page . Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Paper provided by University of Crete, Department of Economics in its series Working Papers with number
0702.
Download reference. The following formats are available: HTML
(with abstract ),
plain text
(with abstract ),
BibTeX ,
RIS (EndNote, RefMan, ProCite),
ReDIF
Length: 43 pages
Date of creation: 00 Oct 2006Date of revision:
Handle: RePEc:crt:wpaper:0702Contact details of provider: Postal: Gallos - Rethymno 74100 Phone: +30 831 77405 Fax: +30 831 77406 Web page: http://economics.soc.uoc.gr/ More information through EDIRC
For technical questions regarding this item, or to correct its listing, contact: (Kostis Pigounakis).
Keywords: panel data ; time-varying individual effects ; factor models ; Find related papers by JEL classification: C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation D24 - Microeconomics - - Production and Organizations - - - Production; Capital and Total Factor Productivity; Capacity
This paper has been announced in the following NEP Reports :
References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.: Cragg, John G. & Donald, Stephen G., 1997.
"Inferring the rank of a matrix ,"
Journal of Econometrics ,
Elsevier, vol. 76(1-2), pages 223-250.
[Downloadable!] (restricted)
Donald W.K. Andrews, 2003.
"Cross-section Regression with Common Shocks ,"
Cowles Foundation Discussion Papers
1428, Cowles Foundation, Yale University.
[Downloadable!]
Other versions: Conley, T. G., 1999.
"GMM estimation with cross sectional dependence ,"
Journal of Econometrics ,
Elsevier, vol. 92(1), pages 1-45, September.
[Downloadable!] (restricted)
Seung Ahn & Young Lee & Peter Schmidt, 2007.
"Stochastic frontier models with multiple time-varying individual effects ,"
Journal of Productivity Analysis ,
Springer, vol. 27(1), pages 1-12, February.
[Downloadable!] (restricted)
Kelejian, Harry H & Prucha, Ingmar R, 1999.
"A Generalized Moments Estimator for the Autoregressive Parameter in a Spatial Model ,"
International Economic Review ,
Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 40(2), pages 509-33, May.
Arellano, Manuel & Bond, Stephen, 1991.
"Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations ,"
Review of Economic Studies ,
Blackwell Publishing, vol. 58(2), pages 277-97, April.
[Downloadable!] (restricted)
Hansen, Lars Peter & Heaton, John & Yaron, Amir, 1996.
"Finite-Sample Properties of Some Alternative GMM Estimators ,"
Journal of Business & Economic Statistics ,
American Statistical Association, vol. 14(3), pages 262-80, July.
Mundlak, Yair, 1978.
"On the Pooling of Time Series and Cross Section Data ,"
Econometrica ,
Econometric Society, vol. 46(1), pages 69-85, January.
[Downloadable!] (restricted)
Hansen, Lars Peter, 1982.
"Large Sample Properties of Generalized Method of Moments Estimators ,"
Econometrica ,
Econometric Society, vol. 50(4), pages 1029-54, July.
[Downloadable!] (restricted)
Keane, Michael P & Runkle, David E, 1992.
"On the Estimation of Panel-Data Models with Serial Correlation When Instruments Are Not Strictly Exogenous ,"
Journal of Business & Economic Statistics ,
American Statistical Association, vol. 10(1), pages 1-9, January.
Campbell, John Y., 1987.
"Stock returns and the term structure ,"
Journal of Financial Economics ,
Elsevier, vol. 18(2), pages 373-399, June.
[Downloadable!] (restricted)
Other versions: Caselli, Francesco & Esquivel, Gerardo & Lefort, Fernando, 1996.
" Reopening the Convergence Debate: A New Look at Cross-Country Growth Empirics ,"
Journal of Economic Growth ,
Springer, vol. 1(3), pages 363-89, September.
Holtz-Eakin, Douglas & Newey, Whitney & Rosen, Harvey S, 1988.
"Estimating Vector Autoregressions with Panel Data ,"
Econometrica ,
Econometric Society, vol. 56(6), pages 1371-95, November.
[Downloadable!] (restricted)
Blundell, Richard & Bond, Stephen, 1998.
"Initial conditions and moment restrictions in dynamic panel data models ,"
Journal of Econometrics ,
Elsevier, vol. 87(1), pages 115-143, August.
[Downloadable!] (restricted)
Other versions:
Richard Blundell & Steve Bond, 1995.
"Initial conditions and moment restrictions in dynamic panel data models ,"
IFS Working Papers
W95/17, Institute for Fiscal Studies.
Blundell, R. & Bond, S., 1995.
"Initial Conditions and Moment Restrictions in Dynamic Panel Data Models ,"
Economics Papers
104, Economics Group, Nuffield College, University of Oxford.
R Blundell & Steven Bond, .
"Initial conditions and moment restrictions in dynamic panel data model ,"
Economics Papers
W14&104., Economics Group, Nuffield College, University of Oxford.
[Downloadable!] Yoosoon Chang, 2000.
"Nonlinear IV Unit Root Tests in Panels with Cross-Sectional Dependency ,"
CIRJE F-Series
CIRJE-F-85, CIRJE, Faculty of Economics, University of Tokyo.
[Downloadable!]
Other versions: Mankiw, N Gregory & Romer, David & Weil, David N, 1992.
"A Contribution to the Empirics of Economic Growth ,"
The Quarterly Journal of Economics ,
MIT Press, vol. 107(2), pages 407-37, May.
[Downloadable!] (restricted)
Other versions: Zhou, Guofu, 1994.
"Analytical GMM Tests: Asset Pricing with Time-Varying Risk Premiums ,"
Review of Financial Studies ,
Oxford University Press for Society for Financial Studies, vol. 7(4), pages 687-709.
[Downloadable!] (restricted)
Ahn, Seung Chan & Hoon Lee, Young & Schmidt, Peter, 2001.
"GMM estimation of linear panel data models with time-varying individual effects ,"
Journal of Econometrics ,
Elsevier, vol. 101(2), pages 219-255, April.
[Downloadable!] (restricted)
Cornwell, Christopher & Rupert, Peter, 1988.
"Efficient Estimation with Panel Data: An Empirical Comparison of Instrumental Variables Estimators ,"
Journal of Applied Econometrics ,
John Wiley & Sons, Ltd., vol. 3(2), pages 149-55, April.
[Downloadable!] (restricted)
Pischke, J.S., 1993.
"Individual Income, Incomplete Information, and Aggregate Consumption ,"
Working papers
93-16, Massachusetts Institute of Technology (MIT), Department of Economics.
Other versions:
Jorn-Steffen Pischke, 1991.
"Individual Income, Incomplete Information and Aggregate Consumption ,"
Working Papers
669, Princeton University, Department of Economics, Industrial Relations Section..
[Downloadable!] Pishke, J.S., 1992.
"Individual Income, Incomplete Information and Aggregate Consumption ,"
Papers
9238, Tilburg - Center for Economic Research.
Pischke, Jorn-Steffen, 1995.
"Individual Income, Incomplete Information, and Aggregate Consumption ,"
Econometrica ,
Econometric Society, vol. 63(4), pages 805-40, July.
[Downloadable!] (restricted) Ahn, Seung C. & Schmidt, Peter, 1995.
"Efficient estimation of models for dynamic panel data ,"
Journal of Econometrics ,
Elsevier, vol. 68(1), pages 5-27, July.
[Downloadable!] (restricted)
Jushan Bai, 2003.
"Inferential Theory for Factor Models of Large Dimensions ,"
Econometrica ,
Econometric Society, vol. 71(1), pages 135-171, January.
[Downloadable!] (restricted)
Ravi Jagannathan & Zhenyu Wang, 1996.
"The conditional CAPM and the cross-section of expected returns ,"
Staff Report
208, Federal Reserve Bank of Minneapolis.
[Downloadable!]
Other versions: Wooldridge, Jeffrey M., 1996.
"Estimating systems of equations with different instruments for different equations ,"
Journal of Econometrics ,
Elsevier, vol. 74(2), pages 387-405, October.
[Downloadable!] (restricted)
K. Jöreskog, 1967.
"Some contributions to maximum likelihood factor analysis ,"
Psychometrika ,
Springer, vol. 32(4), pages 443-482, December.
[Downloadable!] (restricted)
Hausman, Jerry A. & Taylor, William E., 1981.
"Panel data and unobservable individual effects ,"
Journal of Econometrics ,
Elsevier, vol. 16(1), pages 155-155, May.
[Downloadable!] (restricted)
Altug, Sumru & Miller, Robert A, 1990.
"Household Choices in Equilibrium ,"
Econometrica ,
Econometric Society, vol. 58(3), pages 543-70, May.
[Downloadable!] (restricted)
Other versions: Chamberlain, Gary, 1992.
"Efficiency Bounds for Semiparametric Regression ,"
Econometrica ,
Econometric Society, vol. 60(3), pages 567-96, May.
[Downloadable!] (restricted)
Hausman, Jerry A & Taylor, William E, 1981.
"Panel Data and Unobservable Individual Effects ,"
Econometrica ,
Econometric Society, vol. 49(6), pages 1377-98, November.
[Downloadable!] (restricted)
Amemiya, Takeshi & MaCurdy, Thomas E, 1986.
"Instrumental-Variable Estimation of an Error-Components Model ,"
Econometrica ,
Econometric Society, vol. 54(4), pages 869-80, July.
[Downloadable!] (restricted)
Islam, Nazrul, 1995.
"Growth Empirics: A Panel Data Approach ,"
The Quarterly Journal of Economics ,
MIT Press, vol. 110(4), pages 1127-70, November.
[Downloadable!] (restricted)
Anderson, T. W. & Hsiao, Cheng., 1980.
"Estimation of Dynamic Models with Error Components ,"
Working Papers
336, California Institute of Technology, Division of the Humanities and Social Sciences.
[Downloadable!]
Jushan Bai & Serena Ng, 2002.
"Determining the Number of Factors in Approximate Factor Models ,"
Econometrica ,
Econometric Society, vol. 70(1), pages 191-221, January.
[Downloadable!] (restricted)
Other versions:
Full
references Cited by : (explanations , Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.)
Shanti Gamper-Rabindran & Shakeeb Khan & Christopher Timmins, 2008.
"The Impact of Piped Water Provision on Infant Mortality in Brazil: A Quantile Panel Data Approach ,"
NBER Working Papers
14365, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Perez, Marcos & Ahn, Seung Chan, 2007.
"GMM Estimation of the Number of Latent Factors ,"
MPRA Paper
4862, University Library of Munich, Germany.
[Downloadable!]
Yongcheol Shin, 2007.
"Comments on: Panel data analysis—advantages and challenges ,"
TEST: An Official Journal of the Spanish Society of Statistics and Operations Research ,
Springer, vol. 16(1), pages 52-55, May.
[Downloadable!] (restricted)
Access and
download statistics Did you know? To receive notification of recent additions to the database, subscribe to the free NEP reports .
This page was last updated on 2009-11-20.
This information is provided to you by IDEAS at the Department of Economics , College of Liberal Arts and Sciences , University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics .