scholarly journals Moment Conditions for Dynamic Panel Data Models with Multiplicative Individual Effects in the Conditional Variance

1999 ◽  
pp. 317 ◽  
Author(s):  
Meghir ◽  
Windmeijer
Keyword(s):  
Panel Data ◽  
Dynamic Panel Data ◽  
Data Models ◽  
Conditional Variance ◽  
Panel Data Models ◽  
Dynamic Panel ◽  
Dynamic Panel Data Models ◽  
Moment Conditions ◽  
Individual Effects

Level-Based Estimation of Dynamic Panel Models

2019 ◽  
Vol 9 (1) ◽  
Author(s):  
Gabriel Montes-Rojas ◽  
Walter Sosa-Escudero ◽  
Federico Zincenko
Keyword(s):  
Monte Carlo ◽  
Panel Data ◽  
Dynamic Panel Data ◽  
Data Models ◽  
Efficient Estimation ◽  
Panel Data Models ◽  
Dynamic Panel ◽  
Dynamic Panel Data Models ◽  
Moment Conditions ◽  
Optimal Estimator

AbstractThis paper develops an alternative estimator for linear dynamic panel data models based on parameterizing the covariances between covariates and unobserved time-invariant effects. A GMM framework is used to derive an optimal estimator based on moment conditions in levels, with no efficiency loss compared to the classic alternatives like (Arellano, M., and S. Bond. 1991. “Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations.” Review of Economic Studies 58 (2): 277–297), (Ahn, S. C., and P. Schmidt. 1995. “Efficient Estimation of Models for Dynamic Panel Data.” Journal of Econometrics 68 (1): 5–27) and (Ahn, S. C., and P. Schmidt. 1997. “Efficient Estimation of Dynamic Panel Data Models: Alternative Assumptions and Simplified Estimation.” Journal of Econometrics 76: 309–321). Still, we show analytically and by Monte Carlo simulations that the new procedure leads to efficiency improvements for certain data generating processes. The framework also leads to a very simple test for unobserved effects.

Dynamic panel data models in tourism

2018 ◽  
Vol 22 (4) ◽  
pp. 379-399 ◽  
Author(s):  
Ángeles Gallego ◽  
M. Ángeles Rodríguez-Serrano ◽  
Cristóbal Casanueva
Keyword(s):  
Panel Data ◽  
Dynamic Panel Data ◽  
Data Models ◽  
Panel Data Models ◽  
Dynamic Panel ◽  
Dynamic Panel Data Models
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