Equidispersion and moment conditions for count panel data model
AbstractThis paper proposes some new moment conditions under the assumption of the equidispersion in count panel data model. These are obtained by using the association between variances and covariances in the disturbance. Some Monte Carlo experiments configured for the Poisson model show that the GMM estimators using the new moment conditions perform better than the conventional quasi-differenced GMM estimator and some gains are recognized in using the new moment conditions.
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Bibliographic InfoPaper provided by Kyushu Sangyo University, Faculty of Economics in its series Discussion Papers with number 33.
Length: 21 pages
Date of creation: Jun 2009
Date of revision:
count panel data; linear feedback model; equidispersion; implicit operation; crosslinkage moment conditions; GMM; 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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