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On Distributed Lags in Dynamic Panel Data Models: Evidence from Market Shares

Author

Listed:
  • Felicitas Nowak-Lehmann

    (Ibero-America Institute for Economic Research, University of Goettingen)

  • Dierk Herzer

    (Johann Wolfgang Goethe-University)

  • Sebastian Vollmer

    (Ibero-America Institute for Economic Research, University of Goettingen)

  • Inmaculada Martínez-Zarzoso

    (Department of Economics, Applied Economics, Universidad Jaume I)

Abstract

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.

Suggested Citation

  • Felicitas Nowak-Lehmann & Dierk Herzer & Sebastian Vollmer & Inmaculada Martínez-Zarzoso, 2006. "On Distributed Lags in Dynamic Panel Data Models: Evidence from Market Shares," Working Papers 06-05, Asociación Española de Economía y Finanzas Internacionales.
  • Handle: RePEc:aee:wpaper:0605
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    Keywords

    dynamic panel data model; autoregressive distributed lag model; pooled 3Stage Feasible Generalized Least Squares estimation; panel GMM estimation; market shares;

    JEL classification:

    • F14 - International Economics - - Trade - - - Empirical Studies of Trade
    • F17 - International Economics - - Trade - - - Trade Forecasting and Simulation
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models

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