Moment Conditions and Neglected Endogeneity in Panel Data Models
AbstractThis paper develops a new moment condition for estimation of linear panel data models. When added to the set of instruments devised by Anderson, Hsiao (1981, 1982) for the dynamic model, the proposed approach can outperform the GMM methods customarily employed for estimation. The proposal builds on the properties of the iterated GLS, that, contrary to conventional wisdom, can lead to a consistent estimator in particular cases where endogeneity of the explanatory variables is neglected. The targets achieved are a reduction in the number of moment conditions and a better performance over the most widely adopted techniques.
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Bibliographic InfoPaper provided by University of Verona, Department of Economics in its series Working Papers with number 02/2011.
Date of creation: Feb 2011
Date of revision:
panel data; dynamic model; GMM estimation; endogeneity;
Find related papers by JEL classification:
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
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