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Econometric Analysis of Panel Data. William Greene Department of Economics Stern School of Business. http://people.stern.nyu.edu/wgreene/CumulantInstruments-Racicot-AE(2014)_46(10).pdf. The NYU No Action Letter. GMM Estimation for One Equation. GMM for a System of Equations.

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econometric analysis of panel data
Econometric Analysis of Panel Data

William Greene

Department of Economics

Stern School of Business

slide2

http://people.stern.nyu.edu/wgreene/CumulantInstruments-Racicot-AE(2014)_46(10).pdfhttp://people.stern.nyu.edu/wgreene/CumulantInstruments-Racicot-AE(2014)_46(10).pdf

dynamic linear panel data dpd models
Dynamic (Linear) PanelData (DPD) Models
  • Application
  • Bias in Conventional Estimation
  • Development of Consistent Estimators
  • Efficient GMM Estimators
arellano bond bover s formulation47
Arellano/Bond/Bover’s Formulation

These blocks may contain all previous exogenous variables, or all exogenous variables for all periods.

This may contain the all periods of data on x1 rather than just the group mean. (Amemiya and MaCurdy).

arellano bond bover s formulation48
Arellano/Bond/Bover’s Formulation

For unbalanced panels the number of columns for Zi varies. Given the form of Zi, the number of columns depends on Ti.

We need all Zi to have the same number of columns. For matrices with less columns than the largest one, extra columns of zeros are added.

postscript
Postscript
  • There is no theoretical guidance on the instrument set
  • There is no theoretical guidance on the form of the covariance matrix
  • There is no theoretical guidance on the number of lags at any level of the model
  • There is no theoretical guidance on the form of the exogeneity – and it is not testable.
  • Results vary wildly with small variations in the assumptions.