On the effect of mean-nonstationarity in dynamic panel data models
Journal of Econometrics Volume 153 Issue 2
Page 133-135
published_at 2009-12
アクセス数 : 664 件
ダウンロード数 : 201 件
今月のアクセス数 : 0 件
今月のダウンロード数 : 0 件
この文献の参照には次のURLをご利用ください : https://ir.lib.hiroshima-u.ac.jp/00028871
| File | |
| Title ( eng ) |
On the effect of mean-nonstationarity in dynamic panel data models
|
| Creator | |
| Source Title |
Journal of Econometrics
|
| Volume | 153 |
| Issue | 2 |
| Start Page | 133 |
| End Page | 135 |
| Abstract |
In this paper,we investigate the effect of mean-nonstationarity on the first-difference generalized method of moments (FD-GMM) estimator in dynamic panel data models. We find that when data is mean-nonstationary and the variance of individual effects is significantly larger than that of disturbances, the FD-GMM estimator performs quite well. We demonstrate that this is because the correlation between the lagged dependent variable and instruments gets larger owing to the unremoved individual effects, i.e., instruments become strong. This implies that, under mean-nonstationarity, the FD-GMM estimator does not always suffer from the weak instruments problem even when data is persistent.
|
| Keywords |
Dynamic panel data models
Strength of instruments
Generalized method of moments estimator
Mean-nonstationarity
|
| NDC |
Economics [ 330 ]
|
| Language |
eng
|
| Resource Type | journal article |
| Publisher |
Elsevier Science SA
|
| Date of Issued | 2009-12 |
| Rights |
Copyright (c) 2009 Elsevier B. V.
|
| Publish Type | Author’s Original |
| Access Rights | open access |
| Source Identifier |
[ISSN] 0304-4076
[DOI] 10.1016/j.jeconom.2009.04.008
[NCID] AA00251673
[DOI] http://dx.doi.org/10.1016/j.jeconom.2009.04.008
|
