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R-Codes to Calculate GMM Estimations for Dynamic Panel Data Models

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  • Abonazel, Mohamed R.

Abstract

These codes presented three functions for calculating three important estimators in dynamic panel data (DPD) models; these estimators are Arellano-Bond (1991), Arellano-Bover (1995), and Blundell-Bond (1998). All functions here need to the following variables: yit_1: dependent variable for DPD model; phi: the value of autoregressive coefficient; D.T_D.T: first-difference operator matrix of Arellano-Bond estimator; HD: instrumental variables of Arellano-Bond estimator; HL: instrumental variables of Arellano-Bover estimator; W: weighting matrix of Blundell-Bond estimator; HS: instrumental variables of Blundell-Bond estimator. Also, they need to the following R libraries: simex; plm; dlm. For more details about the theoretical bases and the developments of that estimators, see, e.g., Youssef et al. (2014a,b) and Youssef and Abonazel (2015). Moreover, these codes have been designed to enable the user to make a simulation study in this topic, such as the simulation study in Youssef et al. (2014b).

Suggested Citation

  • Abonazel, Mohamed R., 2015. "R-Codes to Calculate GMM Estimations for Dynamic Panel Data Models," MPRA Paper 70627, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:70627
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    File URL: https://mpra.ub.uni-muenchen.de/70627/1/MPRA_paper_70627.pdf
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    References listed on IDEAS

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    1. 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.
    2. Youssef, Ahmed H. & El-Sheikh, Ahmed A. & Abonazel, Mohamed R., 2014. "New GMM Estimators for Dynamic Panel Data Models," MPRA Paper 68676, University Library of Munich, Germany.
    3. Youssef, Ahmed H. & El-Sheikh, Ahmed A. & Abonazel, Mohamed R., 2014. "Improving the Efficiency of GMM Estimators for Dynamic Panel Models," MPRA Paper 68675, University Library of Munich, Germany.
    4. Youssef, Ahmed & Abonazel, Mohamed R., 2015. "Alternative GMM Estimators for First-order Autoregressive Panel Model: An Improving Efficiency Approach," MPRA Paper 68674, University Library of Munich, Germany.
    5. Manuel Arellano & Stephen Bond, 1991. "Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 58(2), pages 277-297.
    6. 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.
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    Cited by:

    1. Abonazel, Mohamed R., 2016. "Bias Correction Methods for Dynamic Panel Data Models with Fixed Effects," MPRA Paper 70628, University Library of Munich, Germany.

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    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software

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