Level-based estimation of dynamic panel models

Autores
Montes Rojas, Gabriel Victorio; Sosa Escudero, Walter; Zincenko, Federico
Año de publicación
2011
Idioma
inglés
Tipo de recurso
artículo
Estado
versión publicada
Descripción
This 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 and Bond (1991) and Ahn and Schmidt (1995, 1997). 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.
Fil: Montes Rojas, Gabriel Victorio. Consejo Nacional de Investigaciones Científicas y Técnicas. Oficina de Coordinación Administrativa Saavedra 15. Instituto Interdisciplinario de Economía Política de Buenos Aires. Universidad de Buenos Aires. Facultad de Ciencias Económicas. Instituto Interdisciplinario de Economía Política de Buenos Aires; Argentina
Fil: Sosa Escudero, Walter. Universidad de San Andrés; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina
Fil: Zincenko, Federico. University of Pittsburgh; Estados Unidos
Materia
ASYMPTOTIC EFFICIENCY
DYNAMIC PANEL
GMM ESTIMATION
INDIVIDUAL EFFECTS
SHORT PANEL
Nivel de accesibilidad
acceso abierto
Condiciones de uso
https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
Repositorio
CONICET Digital (CONICET)
Institución
Consejo Nacional de Investigaciones Científicas y Técnicas
OAI Identificador
oai:ri.conicet.gov.ar:11336/123269
Acceder
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network_acronym_str CONICETDig
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network_name_str CONICET Digital (CONICET)
spelling Level-based estimation of dynamic panel modelsMontes Rojas, Gabriel VictorioSosa Escudero, WalterZincenko, FedericoASYMPTOTIC EFFICIENCYDYNAMIC PANELGMM ESTIMATIONINDIVIDUAL EFFECTSSHORT PANELhttps://purl.org/becyt/ford/5.2https://purl.org/becyt/ford/5This 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 and Bond (1991) and Ahn and Schmidt (1995, 1997). 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.Fil: Montes Rojas, Gabriel Victorio. Consejo Nacional de Investigaciones Científicas y Técnicas. Oficina de Coordinación Administrativa Saavedra 15. Instituto Interdisciplinario de Economía Política de Buenos Aires. Universidad de Buenos Aires. Facultad de Ciencias Económicas. Instituto Interdisciplinario de Economía Política de Buenos Aires; ArgentinaFil: Sosa Escudero, Walter. Universidad de San Andrés; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas; ArgentinaFil: Zincenko, Federico. University of Pittsburgh; Estados UnidosDe Gruyter2011-06-01info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionhttp://purl.org/coar/resource_type/c_6501info:ar-repo/semantics/articuloapplication/pdfapplication/pdfhttp://hdl.handle.net/11336/123269Montes Rojas, Gabriel Victorio; Sosa Escudero, Walter; Zincenko, Federico; Level-based estimation of dynamic panel models; De Gruyter; Journal of Econometric Methods; 9; 1; 1-6-2011; 1-402194-63452156-6674CONICET DigitalCONICETenginfo:eu-repo/semantics/altIdentifier/doi/10.1515/jem-2018-0015info:eu-repo/semantics/altIdentifier/url/https://www.degruyter.com/view/journals/jem/9/1/article-20180015.xmlinfo:eu-repo/semantics/openAccesshttps://creativecommons.org/licenses/by-nc-sa/2.5/ar/reponame:CONICET Digital (CONICET)instname:Consejo Nacional de Investigaciones Científicas y Técnicas2025-09-03T10:03:59Zoai:ri.conicet.gov.ar:11336/123269instacron:CONICETInstitucionalhttp://ri.conicet.gov.ar/Organismo científico-tecnológicoNo correspondehttp://ri.conicet.gov.ar/oai/requestdasensio@conicet.gov.ar; lcarlino@conicet.gov.arArgentinaNo correspondeNo correspondeNo correspondeopendoar:34982025-09-03 10:03:59.893CONICET Digital (CONICET) - Consejo Nacional de Investigaciones Científicas y Técnicasfalse
dc.title.none.fl_str_mv Level-based estimation of dynamic panel models
title Level-based estimation of dynamic panel models
spellingShingle Level-based estimation of dynamic panel models
Montes Rojas, Gabriel Victorio
ASYMPTOTIC EFFICIENCY
DYNAMIC PANEL
GMM ESTIMATION
INDIVIDUAL EFFECTS
SHORT PANEL
title_short Level-based estimation of dynamic panel models
title_full Level-based estimation of dynamic panel models
title_fullStr Level-based estimation of dynamic panel models
title_full_unstemmed Level-based estimation of dynamic panel models
title_sort Level-based estimation of dynamic panel models
dc.creator.none.fl_str_mv Montes Rojas, Gabriel Victorio
Sosa Escudero, Walter
Zincenko, Federico
author Montes Rojas, Gabriel Victorio
author_facet Montes Rojas, Gabriel Victorio
Sosa Escudero, Walter
Zincenko, Federico
author_role author
author2 Sosa Escudero, Walter
Zincenko, Federico
author2_role author
author
dc.subject.none.fl_str_mv ASYMPTOTIC EFFICIENCY
DYNAMIC PANEL
GMM ESTIMATION
INDIVIDUAL EFFECTS
SHORT PANEL
topic ASYMPTOTIC EFFICIENCY
DYNAMIC PANEL
GMM ESTIMATION
INDIVIDUAL EFFECTS
SHORT PANEL
purl_subject.fl_str_mv https://purl.org/becyt/ford/5.2
https://purl.org/becyt/ford/5
dc.description.none.fl_txt_mv This 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 and Bond (1991) and Ahn and Schmidt (1995, 1997). 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.
Fil: Montes Rojas, Gabriel Victorio. Consejo Nacional de Investigaciones Científicas y Técnicas. Oficina de Coordinación Administrativa Saavedra 15. Instituto Interdisciplinario de Economía Política de Buenos Aires. Universidad de Buenos Aires. Facultad de Ciencias Económicas. Instituto Interdisciplinario de Economía Política de Buenos Aires; Argentina
Fil: Sosa Escudero, Walter. Universidad de San Andrés; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina
Fil: Zincenko, Federico. University of Pittsburgh; Estados Unidos
description This 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 and Bond (1991) and Ahn and Schmidt (1995, 1997). 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.
publishDate 2011
dc.date.none.fl_str_mv 2011-06-01
dc.type.none.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
http://purl.org/coar/resource_type/c_6501
info:ar-repo/semantics/articulo
format article
status_str publishedVersion
dc.identifier.none.fl_str_mv http://hdl.handle.net/11336/123269
Montes Rojas, Gabriel Victorio; Sosa Escudero, Walter; Zincenko, Federico; Level-based estimation of dynamic panel models; De Gruyter; Journal of Econometric Methods; 9; 1; 1-6-2011; 1-40
2194-6345
2156-6674
CONICET Digital
CONICET
url http://hdl.handle.net/11336/123269
identifier_str_mv Montes Rojas, Gabriel Victorio; Sosa Escudero, Walter; Zincenko, Federico; Level-based estimation of dynamic panel models; De Gruyter; Journal of Econometric Methods; 9; 1; 1-6-2011; 1-40
2194-6345
2156-6674
CONICET Digital
CONICET
dc.language.none.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv info:eu-repo/semantics/altIdentifier/doi/10.1515/jem-2018-0015
info:eu-repo/semantics/altIdentifier/url/https://www.degruyter.com/view/journals/jem/9/1/article-20180015.xml
dc.rights.none.fl_str_mv info:eu-repo/semantics/openAccess
https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
eu_rights_str_mv openAccess
rights_invalid_str_mv https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
dc.format.none.fl_str_mv application/pdf
application/pdf
dc.publisher.none.fl_str_mv De Gruyter
publisher.none.fl_str_mv De Gruyter
dc.source.none.fl_str_mv reponame:CONICET Digital (CONICET)
instname:Consejo Nacional de Investigaciones Científicas y Técnicas
reponame_str CONICET Digital (CONICET)
collection CONICET Digital (CONICET)
instname_str Consejo Nacional de Investigaciones Científicas y Técnicas
repository.name.fl_str_mv CONICET Digital (CONICET) - Consejo Nacional de Investigaciones Científicas y Técnicas
repository.mail.fl_str_mv dasensio@conicet.gov.ar; lcarlino@conicet.gov.ar
_version_ 1842269831088308224
score 13.13397

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