Problems in Applying Dynamic Panel Data Models: Theoretical and Empirical Findings
AbstractThe objective of this paper is twofold: First, the applicability of a widely used dynamic model, the autoregressive distributed lag model (ARDL), is scrutinized in a panel data setting. Second, Chile’s development of market shares in the EU market in the period of 1988 to 2002 is then analyzed in this dynamic framework, testing for the impact of price competitiveness on market shares and searching for estimation methods that allow dealing with the problem of inter-temporal and cross-section correlation of the disturbances. To estimate the coefficients of the ARDL model, FGLS is utilized within the Three Stage Feasible Generalized Least Squares (3SFGLS) and the system Generalized Method of Moments (system GMM) methods. A computation of errors is added to highlight the susceptibility of the model to problems related to underlying model assumptions.
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Bibliographic InfoPaper provided by Ibero-America Institute for Economic Research in its series Ibero America Institute for Econ. Research (IAI) Discussion Papers with number 140.
Length: 33 pages
Date of creation: 06 Jun 2006
Date of revision:
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Dynamic panel data model; autoregressive distributed lag model; pooled 3Stage Feasible;
Find related papers by JEL classification:
- F14 - International Economics - - Trade - - - Empirical Studies of Trade
- F17 - International Economics - - Trade - - - Trade Forecasting and Simulation
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
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Blog mentionsAs found by EconAcademics.org, the blog aggregator for Economics research:
- March Madness in the Reading Department
by Dave Giles in Econometrics Beat: Dave Giles' Blog on 2014-03-02 00:55:00
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