On Distributed Lags in Dynamic Panel Data Models: Evidence from Market Shares
The objective of this paper is twofold: First, the applicability of a widely used dynamic model, the autoregressive distributed lag model (ARDL), is scrutinized in a panel data setting. Second, Chile’s development of market shares in the EU market in the period of 1988 to 2002 is then analyzed in this dynamic framework, testing for the impact of price competitiveness on market shares and searching for estimation methods that deal with the problem of intertemporal and cross-section correlation of the disturbances. To estimate the coefficients of the ARDL model, Feasible Generalized Least Squares (FGLS) is utilized within the Three Stage Least Squares (3SFGLS) and the system Generalized Method of Moments (system GMM) frameworks. A computation of errors is added to highlight the usceptibility of the model to problems related to the underlying model assumptions.
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