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Dynamic Panel Data Models

  • Maurice J.G. Bun
  • Sarafidis, V.

    (Monash University)

This paper reviews the recent literature on dynamic panel data models. Throughout the discussion we consider the linear dynamic panel data model with additional endogenous regressors. First we give a broad overview of available methods. We next discuss in more detail the assumption of mean stationarity underlying the system GMM estimator. We discuss causes of deviations from mean stationarity, their consequences and tests for mean stationarity.

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File URL: http://aseri.uva.nl/binaries/content/assets/subsites/amsterdam-school-of-economics-research-institute/uva-econometrics/dp-2013/1301.pdf
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Paper provided by Universiteit van Amsterdam, Dept. of Econometrics in its series UvA-Econometrics Working Papers with number 13-01.

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Date of creation: 07 Mar 2013
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Handle: RePEc:ame:wpaper:1301
Contact details of provider: Postal: Dept. of Econometrics, Universiteit van Amsterdam, Valckenierstraat 65, NL - 1018 XE Amsterdam, The Netherlands
Web page: http://www.ase.uva.nl/uva-econometrics
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  1. Douglas Staiger & James H. Stock, 1994. "Instrumental Variables Regression with Weak Instruments," NBER Technical Working Papers 0151, National Bureau of Economic Research, Inc.
  2. Maurice Bun & Frank Windmeijer, 2007. "The weak instrument problem of the system GMM estimator in dynamic panel data models," CeMMAP working papers CWP08/07, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  3. Holtz-Eakin, Douglas & Newey, Whitney & Rosen, Harvey S, 1988. "Estimating Vector Autoregressions with Panel Data," Econometrica, Econometric Society, vol. 56(6), pages 1371-95, November.
  4. Stephen Bond & Anke Hoeffler, 2001. "GMM Estimation of Empirical Growth Models," Economics Series Working Papers 2001-W21, University of Oxford, Department of Economics.
  5. Vasilis Sarafidis & Tom Wansbeek, 2012. "Cross-Sectional Dependence in Panel Data Analysis," Econometric Reviews, Taylor & Francis Journals, vol. 31(5), pages 483-531, September.
  6. Kazuhiko Hayakawa & M. Hashem Pesaran, 2012. "Robust Standard Errors in Transformed Likelihood Estimation of Dynamic Panel Data Models," Working Paper Series 38_12, The Rimini Centre for Economic Analysis.
  7. Stephen Bond & Anke Hoeffler & Jonathan Temple, 2001. "GMM Estimation of Empirical Growth Models," Economics Papers 2001-W21, Economics Group, Nuffield College, University of Oxford.
  8. David Roodman, 2009. "A Note on the Theme of Too Many Instruments," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 71(1), pages 135-158, 02.
  9. Bun M.J.G. & Carree M.A., 2002. "Bias-corrected estimation in dynamic panel data models," Research Memorandum 025, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  10. Kruiniger, Hugo, 2009. "Gmm Estimation And Inference In Dynamic Panel Data Models With Persistent Data," Econometric Theory, Cambridge University Press, vol. 25(05), pages 1348-1391, October.
  11. 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.
  12. Blundell, R. & Bond, S., 1995. "Initial Conditions and Moment Restrictions in Dynamic Panel Data Models," Economics Papers 104, Economics Group, Nuffield College, University of Oxford.
  13. repec:cup:cbooks:9780521522717 is not listed on IDEAS
  14. Arturas Juodis, 2013. "First Difference Transformation in Panel VAR models: Robustness, Estimation and Inference," UvA-Econometrics Working Papers 13-06, Universiteit van Amsterdam, Dept. of Econometrics.
  15. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July.
  16. Richard Blundell & Steve Bond, 1999. "GMM estimation with persistent panel data: an application to production functions," IFS Working Papers W99/04, Institute for Fiscal Studies.
  17. Arellano, Manuel & Bover, Olympia, 1995. "Another look at the instrumental variable estimation of error-components models," Journal of Econometrics, Elsevier, vol. 68(1), pages 29-51, July.
  18. Alvarez, J. & Arellano, M., 1998. "The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators," Papers 9808, Centro de Estudios Monetarios Y Financieros-.
  19. repec:cup:cbooks:9780521818551 is not listed on IDEAS
  20. Bowsher, Clive G., 2002. "On testing overidentifying restrictions in dynamic panel data models," Economics Letters, Elsevier, vol. 77(2), pages 211-220, October.
  21. Stephen Bond & Frank Windmeijer, 2005. "Reliable Inference For Gmm Estimators? Finite Sample Properties Of Alternative Test Procedures In Linear Panel Data Models," Econometric Reviews, Taylor & Francis Journals, vol. 24(1), pages 1-37.
  22. Timothy Besley & Anne Case, 1994. "Unnatural Experiments? Estimating the Incidence of Endogenous Policies," NBER Working Papers 4956, National Bureau of Economic Research, Inc.
  23. Koenker, Roger & Machado, Jose A. F., 1999. "GMM inference when the number of moment conditions is large," Journal of Econometrics, Elsevier, vol. 93(2), pages 327-344, December.
  24. Bekker, Paul A, 1994. "Alternative Approximations to the Distributions of Instrumental Variable Estimators," Econometrica, Econometric Society, vol. 62(3), pages 657-81, May.
  25. Hayakawa, Kazuhiko, 2009. "On the effect of mean-nonstationarity in dynamic panel data models," Journal of Econometrics, Elsevier, vol. 153(2), pages 133-135, December.
  26. Geert Dhaene & Koen Jochmans, 2011. "An Adjusted profile likelihood for non-stationary panel data models with fixed effects," Sciences Po publications info:hdl:2441/eu4vqp9ompq, Sciences Po.
  27. Sarafidis, Vasilis, 2009. "GMM Estimation of Short Dynamic Panel Data Models With Error Cross-Sectional Dependence," MPRA Paper 25176, University Library of Munich, Germany.
  28. Kiviet, Jan F., 1995. "On bias, inconsistency, and efficiency of various estimators in dynamic panel data models," Journal of Econometrics, Elsevier, vol. 68(1), pages 53-78, July.
  29. Gerdie Everaert, 2013. "Orthogonal to backward mean transformation for dynamic panel data models," Econometrics Journal, Royal Economic Society, vol. 16(2), pages 179-221, 06.
  30. Lancaster, Tony, 2002. "Orthogonal Parameters and Panel Data," Review of Economic Studies, Wiley Blackwell, vol. 69(3), pages 647-66, July.
  31. Ahn, Seung C. & Schmidt, Peter, 1995. "Efficient estimation of models for dynamic panel data," Journal of Econometrics, Elsevier, vol. 68(1), pages 5-27, July.
  32. Arellano, Manuel, 2003. "Panel Data Econometrics," OUP Catalogue, Oxford University Press, number 9780199245291, March.
  33. James H. Stock & Jonathan Wright, 2000. "GMM with Weak Identification," Econometrica, Econometric Society, vol. 68(5), pages 1055-1096, September.
  34. "Hayakawa, Kazuhiko", 2008. "Dynamic Panel Data Models―A Survey―," Economic Review, Hitotsubashi University, vol. 59(2), pages 112-125, April.
  35. Tony Lancaster, 2002. "Orthogonal Parameters and Panel Data," Review of Economic Studies, Oxford University Press, vol. 69(3), pages 647-666.
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