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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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econometric analysis of panel data
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 analysis2
Dynamic Panel Data Analysis
  • Instrumental Variables
dynamic panel data analysis3
Dynamic Panel Data Analysis
  • Instrumental Variables Method
dynamic panel data model
Dynamic Panel Data Model

Instrumental Variables Estimation

HAC Variance-Covariance Matrix

dynamic panel data model1
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
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