做静态与动态面板数据模型的很好参考资料.ppt

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1、HowtoDoxtabond2DavidRoodmanResearchFellowCenterforGlobalDevelopmentxtabond2inanutshellFirstadoversionin11/03,Mataversionin11/05.Extendsbuilt-inxtabond,todosystemGMM,Windmeijercorrection,revampedsyntaxEstimatorsdesignedforSmall-T,large-NpanelsOnedependentvariableDynamicLinearRegressorsendogenousandp

2、redeterminedFixedindividualeffectsArbitraryautocorrelationandhet.withinpanelsGeneralapplicationOutlineofpaperIntroductiontolinearGMMMotivationanddesignofdifferenceandsystemGMMxtabond2syntaxBlackboxproblemCanned&sophisticatedprocedureDangersinhiddensophisticationfinitesample≠asymptoticUsersshouldund

3、erstandmotivationandlimitsofestimatorLinearGMMinoneslideLinearGMMand2SLSLinearGMMinanotherslide(Holtz-Eakin,Newey,andRosen1988)DifferenceandsystemGMMProblem:DynamicPanelBias(Nickell1981)Partialsolution:OLSindifferencesProblem:OtherendogeneitySolution:Instrumentwithlags(2SLS)(AndersonandHsiao1981)

4、Problem:InefficiencySolution:GMM&GMM-styleinstruments(Holtz-Eakin,Newey,andRosen1988)Problem:AutocorrelationSolution:RestricttodeeperlagsArellano-BondAR()testProblem:WeakinstrumentsSolution:Insteadofpurgingfixedeffects,findinstrumentsorthogonaltothem(ArellanoandBover1995)Relationshipamongmoments

5、(TueGorgens)Problem:Two-steperrorstoosmallProblem,cont’dSolution:finite-samplecorrection(Windmeijer2005)Problem:toomanyinstrumentsSolution:considerlimitinginstrumentsxtabond2syntaxYXZClassic“GMM-style”ExamplesExamples,cont’dRuntimesforbbest(seconds)700MHzPCxtabond2ado57xtabond2Mata,favoringspace1

6、4xtabond2Mata,favoringspeed11DPDforOx3