Some additional moment conditions for a dynamic count panel data model
AbstractThis paper proposes some additional moment conditions for the linear feedback model formulated in count panel data model, proposed by Blundell et al.(2002). It is shown that the moment conditions based on the quasi-differenced transformation proposed by Chamberlain (1992) and Wooldridge (1997) and some additional moment conditions are derived by using a new operation which the assumptions for disturbances underlie. Two kinds of the additional moment conditions are conceptually equivalent to those proposed by Windmeijer (2000) and Crepon and Duguet (1997) in some regards. Some GMM estimators are constructed using these moment conditions. The small sample performances for the GMM estimators are investigated with some Monte Carlo experiments and it is shown that the GMM estimators perform well when using the additional moment conditions, with minor exceptions.
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Bibliographic InfoPaper provided by Kyushu Sangyo University, Faculty of Economics in its series Discussion Papers with number 29.
Length: 70 pages
Date of creation: Dec 2007
Date of revision: Aug 2008
count panel data; linear feedback model; implicit operation; moment conditions; generalized method of moments; Monte Carlo experiments;
Find related papers by JEL classification:
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Longitudinal Data; Spatial Time Series
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