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Dynamic Panel Data Model and Moment Generating Function

Author

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  • Yoshitsugu Kitazawa

    () (Faculty of Economics, Kyushu Sangyo University)

Abstract

This paper proposes new sets of moment restrictions for consistently estimating the dynamic panel data model. These sets are derived from solving the moment generating functions of the error term for the dynamic panel data model and have the relevancy with some well-known sets of moment restrictions proposed up to this point in time. To investigate small sample properties for GMM estimators based on these sets, Monte Carlo experiments were conducted. The Monte Carlo experiments show that the GMM estimators based on some of these sets exhibit good small sample properties for some values of the so-called adjusting parameter.

Suggested Citation

  • Yoshitsugu Kitazawa, 2003. "Dynamic Panel Data Model and Moment Generating Function," Discussion Papers 13, Kyushu Sangyo University, Faculty of Economics.
  • Handle: RePEc:kyu:dpaper:13
    as

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    File URL: http://www.ip.kyusan-u.ac.jp/keizai-kiyo/dp13.pdf
    File Function: First version, 2003
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    References listed on IDEAS

    as
    1. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-1054, July.
    2. 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.
    3. Holtz-Eakin, Douglas & Newey, Whitney & Rosen, Harvey S, 1989. "The Revenues-Expenditures Nexus: Evidence from Local Government Data," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 30(2), pages 415-429, May.
    4. Crepon, Bruno & Kramarz, Francis & Trognon, Alain, 1997. "Parameters of interest, nuisance parameters and orthogonality conditions An application to autoregressive error component models," Journal of Econometrics, Elsevier, vol. 82(1), pages 135-156.
    5. Kitazawa, Yoshitsugu, 2001. "Exponential regression of dynamic panel data models," Economics Letters, Elsevier, vol. 73(1), pages 7-13, October.
    6. Richard Blundell & Stephen Bond, 2000. "GMM Estimation with persistent panel data: an application to production functions," Econometric Reviews, Taylor & Francis Journals, vol. 19(3), pages 321-340.
    7. Blundell, Richard & Bond, Stephen, 1998. "Initial conditions and moment restrictions in dynamic panel data models," Journal of Econometrics, Elsevier, vol. 87(1), pages 115-143, August.
    8. Yoshitsugu Kitazawa, 2003. "Dynamic Panel Data Model and Moment Generating Function," Discussion Papers 13, Kyushu Sangyo University, Faculty of Economics.
    9. 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.
    10. 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.
    11. Manuel Arellano & Stephen Bond, 1991. "Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations," Review of Economic Studies, Oxford University Press, vol. 58(2), pages 277-297.
    12. 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.
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    Cited by:

    1. Yoshitsugu Kitazawa, 2003. "Dynamic Panel Data Model and Moment Generating Function," Discussion Papers 13, Kyushu Sangyo University, Faculty of Economics.

    More about this item

    Keywords

    Dynamic Panel Data Model; Generalized Method of Moments; Moment Generating Function; Monte Carlo Experiments; Small Sample Properties;

    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models

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