1、Econometric Analysis of Panel Data,William GreeneDepartment of EconomicsStern School of Business,Econometric Analysis of Panel Data,9. GMM Estimation and Dynamic Models,GMM Estimation for One Equation,GMM for a System of Equations,SUR Model with Endogenous RHS Variables,GMM for the System - Notation
2、,Instruments,Instruments,Estimation-1,Estimation-2,Estimation-3,Estimation-4,Estimation-5,The Panel Data Case,Hausman and Taylor,Hausman and Taylor,H&Ts FGLS Estimator,H&Ts FGLS Estimator (cont.),H&Ts 4 STEP IV Estimator,Arellano/Bond/Bovers Formulation,Arellano/Bond/Bovers Formulation,Arellano/Bond
3、/Bovers 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/Bovers Formulation,Arellano/Bond/Bovers Formulation,For unba
4、lanced 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.,Arellano/Bond/Bovers Formulation,Arellano/Bond/Bover
5、 Estimator,GMM Criterion,Dynamic (Linear) PanelData (DPD) Models,ApplicationBias in Conventional EstimationDevelopment of Consistent EstimatorsEfficient GMM Estimators,Dynamic Linear Model,A General DPD model,OLS and GLS are inconsistent,LSDV is Inconsistent,Anderson Hsiao IV Estimator,Arellano and
6、Bond Estimator,Arellano and Bond Estimator,Arellano and Bond Estimator,Application: Maquiladora,http:/www.dallasfed.org/news/research/2005/05us-mexico_felix.pdf,Maquiladora,Estimates,Arellano/Bond/Bovers Formulation,Instrumental Variables,Simple IV Estimation,Simple IV Estimation,Arellano/Bond/Bover
7、 - GLS,Arellano/Bond/Bover Estimator,GMM Estimator,Arellano/Bond/Bovers Formulation,Arellano/Bond/Bovers Formulation,Arellano/Bond/Bovers 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 Estimator,Ahn and Schmidt,
