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ID 28871
本文ファイル
著者
キーワード
Dynamic panel data models
Strength of instruments
Generalized method of moments estimator
Mean-nonstationarity
NDC
経済
抄録(英)
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.
掲載誌名
Journal of Econometrics
153巻
2号
開始ページ
133
終了ページ
135
出版年月日
2009-12
出版者
Elsevier Science SA
ISSN
0304-4076
NCID
出版者DOI
言語
英語
NII資源タイプ
学術雑誌論文
広大資料タイプ
学術雑誌論文
DCMIタイプ
text
フォーマット
application/pdf
著者版フラグ
author
権利情報
Copyright (c) 2009 Elsevier B. V.
関連情報URL
部局名
社会科学研究科