dynamic simultaneous equations with panel data

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1、Chapter8DynamicSimultaneousEquationswithPanelData:SmallSamplePropertiesandApplicationtoRegionalEconometricModelling8.1IntroductionThenotionofsimultaneityamongvariablesarisesformanyeconomicrelations.Thischapterseekstoanalyzetheappropriatenessofdifferentdynamicpaneldatamodelsforestim

2、atingsmallsimultaneousequationsystems.Usingmultipleequa-tionextensionsforthestandardfixedeffectsmodel(FEM),abiascorrectedFEMversionaswellasdifferentIVandGMMestimators,recentlyproposedintheliter-ature,wejudgeamongtheirperformanceintermsofbiasandefficiencyinMonteCarlosimulations.Beside

3、standardlargeN(cross-sections),smallT(timedimen-sion)assumptionsweespeciallycheckfortheestimatorsperformanceintwo-sidedsmallsampleswithbothmoderateNandT.Thelattersetupistypicallyfoundfordatasettingsinvolvingmacroeconomicorregionalanalysis.Inanempiricalapplication,wethenestimatedyna

4、micsimultaneousequationmodellingwithpaneldatatoassesstheroleofspilloversfrompubliccapitalforma-tionandregionalsupportpoliciesfortheregionalgrowthofGermanstates(NUTS1-level).Weexplicitlysetupasystemofequationsinordertoaccountmoreappro-priatelyforthepossiblesourcesofendogeneityforrig

5、ht-hand-sideregressorsintheoutputandfactordemandequations.Comparedtothesingle-equationapproach,thesystemestimationisalsoabletospelloutfeed-backsimultaneitiesamongtheendogenousvariablesspecifiedinthesystemandidentifythedirectandindirecteffectsofpolicyvariablesonlaborproductivitygrowt

6、handprivate/publiccapitalinvestment.Theremainderofthechapterisorganizedasfollows:Sect.8.2specifiestheun-derlyingeconometricmodelinvolvingasystemofequations,whereatleastoneequationisofdynamicnaturebytheinclusionofalaggedendogenousvariableasright-hand-sideregressor.Section8.3sketchest

7、heMonteCarlosimulationdesignanddiscussestheresultsforasetofdifferentparameterconstellations.Fortheem-piricalapplicationinSect.8.4webuildupasmall-scale3-equationregionalgrowthmodelforlaborproductivitywithendogenizedequationsforprivateandpubliccap-italinput.Wecheckthedynamicpropertie

8、softhesystemandusethemodel