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Efficient Estimation of Non-Linear Dynamic Panel Data Models with Application to Smooth Transition Models

  • Tue Gørgens

    ()

    (The Australian National University)

  • Christopher L. Skeels

    ()

    (The University of Melbourne)

  • Allan H. Würtz

    ()

    (School of Economics and Management, University of Aarhus and CREATES)

This paper explores estimation of a class of non-linear dynamic panel data models with additive unobserved individual-specific effects. The models are specified by moment restrictions. The class includes the panel data AR(p) model and panel smooth transition models. We derive an efficient set of moment restrictions for estimation and apply the results to estimation of panel smooth transition models with fixed effects, where the transition may be determined endogenously. The performance of the GMM estimator, both in terms of estimation precision and forecasting performance, is examined in a Monte Carlo experiment. We find that estimation of the parameters in the transition function can be problematic but that there may be significant benefits in terms of forecast performance.

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Paper provided by School of Economics and Management, University of Aarhus in its series CREATES Research Papers with number 2009-51.

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Length: 27
Date of creation: 01 Oct 2009
Date of revision:
Handle: RePEc:aah:create:2009-51
Contact details of provider: Web page: http://www.econ.au.dk/afn/

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  16. Bruce E. Hansen, 1997. "Threshold effects in non-dynamic panels: Estimation, testing and inference," Boston College Working Papers in Economics 365, Boston College Department of Economics.
  17. Wooldridge, Jeffrey M., 1997. "Multiplicative Panel Data Models Without the Strict Exogeneity Assumption," Econometric Theory, Cambridge University Press, vol. 13(05), pages 667-678, October.
  18. Hahn, Jinyong, 1997. "Efficient estimation of panel data models with sequential moment restrictions," Journal of Econometrics, Elsevier, vol. 79(1), pages 1-21, July.
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