Multiplicative Panel Data Models Without the Strict Exogeneity Assumption
This paper considers estimation of multiplicative, unobserved components panel data models without imposing a strict exogeneity assumption on the conditioning variables. The method of moments estimators proposed have significant robustness properties. They require only a conditional mean assumption and apply to models with lagged dependent variables and to finite distributed lag models with arbitrary feedback from the explained to future values of the explanatory variables. The model is particularly suited to nonnegative explained variables, including count variables, continuously distributed nonnegative outcomes, and even binary variables. The general model can also be applied to certain nonlinear Euler equations.
Volume (Year): 13 (1997)
Issue (Month): 05 (October)
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