GMM estimation for dynamic panels with fixed effects and strong instruments at unity
GMM estimation for dynamic panels with fixed effects and strong instruments at unity
This paper develops new estimation and inference procedures for dynamic panel data models with fixed effects and incidental trends. A simple consistent GMM estimation method is proposed that avoids the weak moment condition problem that is known to affect conventional GMM estimation when the autoregressive coefficient
(?) is near unity. In both panel and time series cases, the estimator has standard Gaussian asymptotics for all values of ? ? (?1, 1] irrespective of how the composite
cross-section and time series sample sizes pass to infinity. Simulations reveal that the estimator has little bias even in very small samples. The approach is applied to
panel unit root testing.
119-151
Han, Chirok
acedb9ff-f19b-4313-aa72-a69cf89b4fc6
Phillips, Peter C.B.
f67573a4-fc30-484c-ad74-4bbc797d7243
February 2010
Han, Chirok
acedb9ff-f19b-4313-aa72-a69cf89b4fc6
Phillips, Peter C.B.
f67573a4-fc30-484c-ad74-4bbc797d7243
Han, Chirok and Phillips, Peter C.B.
(2010)
GMM estimation for dynamic panels with fixed effects and strong instruments at unity.
Econometric Theory, 26 (1), .
(doi:10.1017/S026646660909063X).
Abstract
This paper develops new estimation and inference procedures for dynamic panel data models with fixed effects and incidental trends. A simple consistent GMM estimation method is proposed that avoids the weak moment condition problem that is known to affect conventional GMM estimation when the autoregressive coefficient
(?) is near unity. In both panel and time series cases, the estimator has standard Gaussian asymptotics for all values of ? ? (?1, 1] irrespective of how the composite
cross-section and time series sample sizes pass to infinity. Simulations reveal that the estimator has little bias even in very small samples. The approach is applied to
panel unit root testing.
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Published date: February 2010
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Local EPrints ID: 157277
URI: http://eprints.soton.ac.uk/id/eprint/157277
PURE UUID: 600b3533-1b95-4baa-976f-f3aed7614b7e
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Date deposited: 04 Jun 2010 13:39
Last modified: 14 Mar 2024 01:46
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Author:
Chirok Han
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