Estimation of Nonlinear Dynamic Panel Data Models with Individual Effects
Joint Authors
Wang, Shouyang
Guo, Dongmei
Deng, Ying
Hu, Yi
Source
Mathematical Problems in Engineering
Issue
Vol. 2014, Issue 2014 (31 Dec. 2014), pp.1-7, 7 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2014-02-25
Country of Publication
Egypt
No. of Pages
7
Main Subjects
Abstract EN
This paper suggests a generalized method of moments (GMM) based estimation for dynamic panel data models with individual specific fixed effects and threshold effects simultaneously.
We extend Hansen’s (Hansen, 1999) original setup to models including endogenous regressors, specifically, lagged dependent variables.
To address the problem of endogeneity of these nonlinear dynamic panel data models, we prove that the orthogonality conditions proposed by Arellano and Bond (1991) are valid.
The threshold and slope parameters are estimated by GMM, and asymptotic distribution of the slope parameters is derived.
Finite sample performance of the estimation is investigated through Monte Carlo simulations.
It shows that the threshold and slope parameter can be estimated accurately and also the finite sample distribution of slope parameters is well approximated by the asymptotic distribution.
American Psychological Association (APA)
Hu, Yi& Guo, Dongmei& Deng, Ying& Wang, Shouyang. 2014. Estimation of Nonlinear Dynamic Panel Data Models with Individual Effects. Mathematical Problems in Engineering،Vol. 2014, no. 2014, pp.1-7.
https://search.emarefa.net/detail/BIM-489306
Modern Language Association (MLA)
Hu, Yi…[et al.]. Estimation of Nonlinear Dynamic Panel Data Models with Individual Effects. Mathematical Problems in Engineering No. 2014 (2014), pp.1-7.
https://search.emarefa.net/detail/BIM-489306
American Medical Association (AMA)
Hu, Yi& Guo, Dongmei& Deng, Ying& Wang, Shouyang. Estimation of Nonlinear Dynamic Panel Data Models with Individual Effects. Mathematical Problems in Engineering. 2014. Vol. 2014, no. 2014, pp.1-7.
https://search.emarefa.net/detail/BIM-489306
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-489306