Role of Constant Instruments in Dynamic Panel Estimation

• 발행기관: 고려대학교 미래성장연구원
• 저자명: Chirok Han Hyoung jong Kim
• 간행물 정보: 『미래성장연구소 Working Paper』2014 Working Paper, 1~11쪽, 전체 11쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2014.01.01

영문 초록

In standard generalized method of moments estimation of dynamic panel data models, the constant term is usually omitted from instrument sets. As a result, the estimate is affected by the translation of the dependent variable by a universal constant for models with no full period dummies. Omitting the constant term from instrument sets may also result in substantial bias and efficiency loss if the mean of the variable is large in magnitude. In this note, we provide analytical and numerical results and propose convenient solutions for practitioners.

목차

Abstract

1 Introduction

2 Role of constant instruments in difference GMM

3 Concluding remarks

References

키워드

Dynamic panel data Constant term Fixed effects Generalized method of moments Instrumental variables Weak instruments