GMM Estimation for Dynamic Panels with Fixed Effects and Strong Instruments at Unity

• 영문명: GMM Estimation for Dynamic Panels with Fixed Effects and Strong Instruments at Unity
• 발행기관: 한국계량경제학회
• 저자명: Chirok Han Peter C. B. Phillips
• 간행물 정보: 『한국계량경제학회 학술대회 논문집』2007년 하계학술대회, 1~45쪽, 전체 45쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2007.08.30

영문 초록

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 (ρ) is near unity. In both panel and time series cases, the estimator has standard Gaussian asymptotics for all values of ρ ∈ (−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.

목차

1 Introduction

2 Simple Dynamic Panels

3 Dynamic Panels with Exogenous Variables

4 Incidental Trends

5 Panel Unit Root Testing

6 Conclusion

키워드

Asymptotic normality Asymptotic power envelope Moment conditions Panel unit roots Point optimal test Unit root tests Weak instruments