Econometric Analysis of Panel Data

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# Econometric Analysis of Panel Data - PowerPoint PPT Presentation

Econometric Analysis of Panel Data. Dynamic Panel Data Analysis First Difference Model Instrumental Variables Method Generalized Method of Moments Arellano-Bond-Bover Estimator. Dynamic Panel Data Analysis. The Model. Dynamic Panel Data Analysis. The Model. Dynamic Panel Data Analysis.

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Presentation Transcript
Econometric Analysis of Panel Data
• Dynamic Panel Data Analysis
• First Difference Model
• Instrumental Variables Method
• Generalized Method of Moments
• Arellano-Bond-Bover Estimator
Dynamic Panel Data Analysis
• Instrumental Variables
Dynamic Panel Data Analysis
• Instrumental Variables Method
Dynamic Panel Data Model

Instrumental Variables Estimation

HAC Variance-Covariance Matrix

Dynamic Panel Data Model
• Arellano-Bond Estimator is based on Generalized Method of Moments (GMM)
• With a proper choice of a p.d.f. weighting matrix γ
Example: Returns to Schooling

Cornwell and Rupert Model (1988)

Data (575 individuals over 7 years)

Dependent Variable yit:

LWAGE = log of wage

Explanatory Variables xit:

Time-Variant Variables x1it:

EXP = work experience WKS = weeks worked  endogenousOCC = occupation, 1 if blue collar, IND = 1 if manufacturing industrySOUTH = 1 if resides in southSMSA = 1 if resides in a city (SMSA)MS = 1 if married UNION = 1 if wage set by union contract

Time-Invariant Variables x2i:

ED = years of education  endogenousFEM = 1 if femaleBLK = 1 if individual is black