GMM Estimation of Short Dynamic Panel Data Models with Interactive Fixed Effects—Hayakawa.pdf

《GMM Estimation of Short Dynamic Panel Data Models with Interactive Fixed Effects—Hayakawa.pdf》由会员上传分享，免费在线阅读，更多相关内容在学术论文-天天文库。

1、GMMEstimationofShortDynamicPanelDataModelswithInteractiveFixedEffectsKazuhikoHayakawaDepartmentofEconomics,HiroshimaUniversityNovember21,2012AbstractInthispaper,weproposeGMMestimatorsforshortdynamicpaneldatamodelswithinteractivefixedeffects.Momentconditionsareobtainedforthemodelwheretheproje

2、ctionmethodisappliedtoremovethecorrelationbetweenregressorsandinteractivefixedeffects.MonteCarlosimulationshowsthattheproposedGMMestimatorsperformreasonablywellinfinitesample.keywords:paneldata,interactivefixedeffects,factorstructure,GMM.Theauthorisdeeplygratefultotworeferees,TakuYamamoto,Eiji

3、Kurozumi,HiroakiChigira,HosungJungandAsukaTakeuchiforhelpfulcomments.PartofthispaperwaswrittenwhiletheauthorwasvisitingtheUniversityofCambridgeasaJSPSPostdoctoralFellowforResearchAbroad.TheauthoristhankfultoHashemPesaranforhissupport.FinancialsupportfromtheJSPSFellowshipandKAKENHI(22730178

4、)isalsogratefullyacknowledged.Allremainingerrorsaremyown.1Electroniccopyavailableat:http://ssrn.com/abstract=14120831IntroductionRecently,theuseofpaneldatahasbeenincreasinginempiricalstudiesofeconomicproblems.Abasicmodelforpaneldataisgivenby′yit=βxit+i+t+vit(i=1;


;N;t=1;


;T)(1)whereβa

5、ndxitareKdimensionalvectors.Theindexidenotescross-sectionalunitandtheindextdenotestimeperiod.iandtareunobservedindividualandtimeeffects,respectively,whicharetypicalforpanelmodels.vitisanidiosyncraticerrorterm.Thismodelhasbeenwidelyusedinempiricalstudies1.Ifweregardastheparameterstobeestim

6、ated,themodeli(1)iscalledasthefixedeffectsmodelandtheordinaryleastsquares(OLS)estimatorofβisknownasthewithin-groups(WG)estimator2.Ontheotherhand,ifweregardasapartiofthedisturbance,themodel(1)iscalledastherandomeffectsmodel,andthegeneralizedleastsquares(GLS)estimatorisusuallyused.Themostimpor

7、tantdifferencebetweenthesetwoestimatorsisthattheWGestimatorisconsistentevenifiiscorrelatedwithxit,whileitisnotthecasefortheGLSestimator.Although,thesetwoestimatorsarewidelyusedinempiricalstudies,themodel(1)issome-whatrestrictive.Forinstance,ifthetimeeffecttdeno