このエントリーをはてなブックマークに追加
ID 28871
file
creator
subject
Dynamic panel data models
Strength of instruments
Generalized method of moments estimator
Mean-nonstationarity
NDC
Economics
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.
journal title
Journal of Econometrics
volume
Volume 153
issue
Issue 2
start page
133
end page
135
date of issued
2009-12
publisher
Elsevier Science SA
issn
0304-4076
ncid
publisher doi
language
eng
nii type
Journal Article
HU type
Journal Articles
DCMI type
text
format
application/pdf
text version
author
rights
Copyright (c) 2009 Elsevier B. V.
relation url
department
Graduate School of Social Sciences