Initial Conditions and Moment Restrictions in Dynamic Panel Data Models.
Estimation of the dynamic error components model is considered using two alternative linear estimators that are designed to improve the properties of the standard first-differenced generalized method of moments (GMM) estimator. Both estimators require restrictions on the initial conditions process....
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| Other Authors: | |
| Format: | Book section |
| Language: | English |
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Elgar
2002
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| _version_ | 1826278801548509184 |
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| author | Blundell, R Bond, S |
| author2 | Baltagi, B |
| author_facet | Baltagi, B Blundell, R Bond, S |
| author_sort | Blundell, R |
| collection | OXFORD |
| description | Estimation of the dynamic error components model is considered using two alternative linear estimators that are designed to improve the properties of the standard first-differenced generalized method of moments (GMM) estimator. Both estimators require restrictions on the initial conditions process. Asymptotic efficiency comparisons and Monte Carlo simulations for the simple AR(1) model demonstrate the dramatic improvement in performance of the proposed estimators compared to the usual first-differenced GMM estimator, and compared to nonlinear GMM. The importance of these results is illustrated in an application to the estimation of a labor demand model using company panel data. |
| first_indexed | 2024-03-06T23:49:24Z |
| format | Book section |
| id | oxford-uuid:7213a0bb-6894-4ff7-b500-a92e5ce8398c |
| institution | University of Oxford |
| language | English |
| last_indexed | 2024-03-06T23:49:24Z |
| publishDate | 2002 |
| publisher | Elgar |
| record_format | dspace |
| spelling | oxford-uuid:7213a0bb-6894-4ff7-b500-a92e5ce8398c2022-03-26T19:47:46ZInitial Conditions and Moment Restrictions in Dynamic Panel Data Models.Book sectionhttp://purl.org/coar/resource_type/c_3248uuid:7213a0bb-6894-4ff7-b500-a92e5ce8398cEnglishDepartment of Economics - ePrintsElgar2002Blundell, RBond, SBaltagi, BEstimation of the dynamic error components model is considered using two alternative linear estimators that are designed to improve the properties of the standard first-differenced generalized method of moments (GMM) estimator. Both estimators require restrictions on the initial conditions process. Asymptotic efficiency comparisons and Monte Carlo simulations for the simple AR(1) model demonstrate the dramatic improvement in performance of the proposed estimators compared to the usual first-differenced GMM estimator, and compared to nonlinear GMM. The importance of these results is illustrated in an application to the estimation of a labor demand model using company panel data. |
| spellingShingle | Blundell, R Bond, S Initial Conditions and Moment Restrictions in Dynamic Panel Data Models. |
| title | Initial Conditions and Moment Restrictions in Dynamic Panel Data Models. |
| title_full | Initial Conditions and Moment Restrictions in Dynamic Panel Data Models. |
| title_fullStr | Initial Conditions and Moment Restrictions in Dynamic Panel Data Models. |
| title_full_unstemmed | Initial Conditions and Moment Restrictions in Dynamic Panel Data Models. |
| title_short | Initial Conditions and Moment Restrictions in Dynamic Panel Data Models. |
| title_sort | initial conditions and moment restrictions in dynamic panel data models |
| work_keys_str_mv | AT blundellr initialconditionsandmomentrestrictionsindynamicpaneldatamodels AT bonds initialconditionsandmomentrestrictionsindynamicpaneldatamodels |