Problems in Applying Dynamic Panel Data Models: Theoretical and Empirical Findings
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 allow dealing with the problem of inter-temporal and cross-section correlation of the disturbances. To estimate the coefficients of the ARDL model, FGLS is utilized within the Three Stage Feasible Generalized Least Squares (3SFGLS) and the system Generalized Method of Moments (system GMM) methods. A computation of errors is added to highlight the susceptibility of the model to problems related to underlying model assumptions.
|Date of creation:||06 Jun 2006|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: 0049-551-39 81 72
Fax: 0049-551-39 81 73
Web page: http://www.iai.wiwi.uni-goettingen.de
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Arellano, M., 1989.
"A Note On The Anderson-Hsiao Estimator For Panel Data,"
Economics Series Working Papers
9975, University of Oxford, Department of Economics.
- Arellano, Manuel, 1989. "A note on the Anderson-Hsiao estimator for panel data," Economics Letters, Elsevier, vol. 31(4), pages 337-341, December.
- John R. Cable, 1997. "Market Share Behavior And Mobility: An Analysis And Time-Series Application Notes," The Review of Economics and Statistics, MIT Press, vol. 79(1), pages 136-141, February.
- Peter Pedroni, 2004.
"Panel Cointegration: Asymptotic and Finite Sample Properties of Pooled Time Series Tests with an Application to the PPP Hypothesis,"
Department of Economics Working Papers
2004-15, Department of Economics, Williams College.
- Pedroni, Peter, 2004. "Panel Cointegration: Asymptotic And Finite Sample Properties Of Pooled Time Series Tests With An Application To The Ppp Hypothesis," Econometric Theory, Cambridge University Press, vol. 20(03), pages 597-625, June.
- Kim, MinKyoung & Cho, Guedae & Koo, Won W., 2003. "Determining Bilateral Trade Patterns Using A Dynamic Gravity Equation," Agribusiness & Applied Economics Report 23538, North Dakota State University, Department of Agribusiness and Applied Economics.
- Durlauf,S.N. & Johnson,P.A. & Temple,J.R.W., 2004.
18, Wisconsin Madison - Social Systems.
- Johnson, Paul & Durlauf, Steven N & Temple, Johnathan R. W., 2004. "Growth Econometrics," Vassar College Department of Economics Working Paper Series 61, Vassar College Department of Economics.
- Nowak-Lehmann Felicitas, 2004. "Different approaches of modelling reaction lags: how do Chilean manufacturing exports react to movements of the real exchange rate?," Applied Economics, Taylor & Francis Journals, vol. 36(14), pages 1547-1560.
- Pasaran, M.H. & Im, K.S. & Shin, Y., 1995.
"Testing for Unit Roots in Heterogeneous Panels,"
Cambridge Working Papers in Economics
9526, Faculty of Economics, University of Cambridge.
- 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.
- Blundell, Richard & Bond, Stephen & Devereux, Michael & Schiantarelli, Fabio, 1992. "Investment and Tobin's Q: Evidence from company panel data," Journal of Econometrics, Elsevier, vol. 51(1-2), pages 233-257.
- Pedroni, Peter, 1999.
" Critical Values for Cointegration Tests in Heterogeneous Panels with Multiple Regressors,"
Oxford Bulletin of Economics and Statistics,
Department of Economics, University of Oxford, vol. 61(0), pages 653-70, Special I.
- Peter Pedroni, 1999. "Critical Values for Cointegration Tests in Heterogeneous Panels with Multiple Regressors," Department of Economics Working Papers 2000-02, Department of Economics, Williams College.
- Jörg Breitung & M. Hashem Pesaran, 2005.
"Unit Roots and Cointegration in Panels,"
IEPR Working Papers
05.32, Institute of Economic Policy Research (IEPR).
- Joerg Breitung & M. Hashem Pesaran, 2005. "Unit Roots and Cointegration in Panels," CESifo Working Paper Series 1565, CESifo Group Munich.
- Breitung, J. & Pesaran, M.H., 2005. "Unit Roots and Cointegration in Panels," Cambridge Working Papers in Economics 0535, Faculty of Economics, University of Cambridge.
- Breitung, Jörg & Pesaran, Mohammad Hashem, 2005. "Unit roots and cointegration in panels," Discussion Paper Series 1: Economic Studies 2005,42, Deutsche Bundesbank, Research Centre.
- Islam, Nazrul, 1995. "Growth Empirics: A Panel Data Approach," The Quarterly Journal of Economics, MIT Press, vol. 110(4), pages 1127-70, November.
- Nickell, Stephen J, 1981. "Biases in Dynamic Models with Fixed Effects," Econometrica, Econometric Society, vol. 49(6), pages 1417-26, November.
- Holtz-Eakin, Douglas & Newey, Whitney & Rosen, Harvey S, 1988.
"Estimating Vector Autoregressions with Panel Data,"
Econometric Society, vol. 56(6), pages 1371-95, November.
- Tom Doan, . "RATS program to demonstrate IV estimation of VAR in panel data," Statistical Software Components RTZ00185, Boston College Department of Economics.
- Arellano, Manuel & Bond, Stephen, 1991.
"Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations,"
Review of Economic Studies,
Wiley Blackwell, vol. 58(2), pages 277-97, April.
- Tom Doan, . "RATS program to replicate Arellano-Bond 1991 dynamic panel," Statistical Software Components RTZ00169, Boston College Department of Economics.
- 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.
- Ruth A. Judson & Ann L. Owen, 1997. "Estimating dynamic panel data models: a practical guide for macroeconomists," Finance and Economics Discussion Series 1997-3, Board of Governors of the Federal Reserve System (U.S.).
When requesting a correction, please mention this item's handle: RePEc:got:iaidps:140. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sabine Jaep)
If references are entirely missing, you can add them using this form.