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Convergence of the static estimation toward the long-run effects of dynamic panel data models: a labour demand illustration

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  • A. Pirotte

Abstract

This article focuses on the estimation of long-run effects on panel data. Pirotte showed that the probability limit of the between estimator of a static relation - whereas the true specification is a dynamic error components model - converges to the long-run effects. This article illustrates this theoretical result by an empirical study to labour demand.

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  • A. Pirotte, 2003. "Convergence of the static estimation toward the long-run effects of dynamic panel data models: a labour demand illustration," Applied Economics Letters, Taylor & Francis Journals, vol. 10(13), pages 843-847.
    • Handle: RePEc:taf:apeclt:v:10:y:2003:i:13:p:843-847
    DOI: 10.1080/1350485032000137486
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    References listed on IDEAS

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    1. Keane, Michael P & Runkle, David E, 1992. "On the Estimation of Panel-Data Models with Serial Correlation When Instruments Are Not Strictly Exogenous," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(1), pages 1-9, January.
    2. Anderson, T. W. & Hsiao, Cheng, 1982. "Formulation and estimation of dynamic models using panel data," Journal of Econometrics, Elsevier, vol. 18(1), pages 47-82, January.
    3. Keane, Michael P & Runkle, David E, 1992. "On the Estimation of Panel-Data Models with Serial Correlation When Instruments Are Not Strictly Exogenous: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(1), pages 26-29, January.
    4. Pirotte, Alain, 1999. "Convergence of the static estimation toward the long run effects of dynamic panel data models," Economics Letters, Elsevier, vol. 63(2), pages 151-158, May.
    5. Wallace, T D & Hussain, Ashiq, 1969. "The Use of Error Components Models in Combining Cross Section with Time Series Data," Econometrica, Econometric Society, vol. 37(1), pages 55-72, January.
    6. Manuel Arellano & Stephen Bond, 1991. "Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 58(2), pages 277-297.
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    Cited by:

    1. Paul J. Burke & Shuhei Nishitateno, 2015. "Gasoline Prices And Road Fatalities: International Evidence," Economic Inquiry, Western Economic Association International, vol. 53(3), pages 1437-1450, July.
    2. Burke, Paul J. & Yang, Hewen, 2016. "The price and income elasticities of natural gas demand: International evidence," Energy Economics, Elsevier, vol. 59(C), pages 466-474.
    3. Csereklyei, Zsuzsanna, 2020. "Price and income elasticities of residential and industrial electricity demand in the European Union," Energy Policy, Elsevier, vol. 137(C).
    4. Piyapong Jiwattanakulpaisarn & Robert B. Noland & Daniel J. Graham & John W. Polak, 2009. "Highway Infrastructure Investment And County Employment Growth: A Dynamic Panel Regression Analysis," Journal of Regional Science, Wiley Blackwell, vol. 49(2), pages 263-286, May.
    5. Paul J. Burke & Ashani Abayasekara, 2018. "The Price Elasticity of Electricity Demand in the United States: A Three-Dimensional Analysis," The Energy Journal, , vol. 39(2), pages 123-146, March.
    6. Alain Pirotte & Jesús Mur, 2017. "Neglected dynamics and spatial dependence on panel data: consequences for convergence of the usual static model estimators," Spatial Economic Analysis, Taylor & Francis Journals, vol. 12(2-3), pages 202-229, July.
    7. Burke, Paul J. & Csereklyei, Zsuzsanna, 2016. "Understanding the energy-GDP elasticity: A sectoral approach," Energy Economics, Elsevier, vol. 58(C), pages 199-210.
    8. Godoy-Bejarano, Jesús M. & Ruiz-Pava, Guillermo A. & Téllez-Falla, Diego F., 2020. "Environmental complexity, slack, and firm performance," Journal of Economics and Business, Elsevier, vol. 112(C).
    9. Desbordes, Rodolphe & Koop, Gary & Vicard, Vincent, 2018. "One size does not fit all… panel data: Bayesian model averaging and data poolability," Economic Modelling, Elsevier, vol. 75(C), pages 364-376.

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