WEKO3
アイテム
A Test for Autocorrelation in Dynamic Panel Data Models
http://hdl.handle.net/10086/13981
http://hdl.handle.net/10086/1398182908560-bd27-4463-ab69-d65e06b3580b
| 名前 / ファイル | ライセンス | アクション |
|---|---|---|
D04-77.pdf (304781 bytes)
|
|
| アイテムタイプ | デフォルトアイテムタイプ（フル）その２(1) | |||||||
|---|---|---|---|---|---|---|---|---|
| 公開日 | 2017-05-20 | |||||||
| タイトル | ||||||||
| タイトル | A Test for Autocorrelation in Dynamic Panel Data Models | |||||||
| 言語 | en | |||||||
| 作成者 |
Jung, Hosung
× Jung, Hosung
|
|||||||
| 寄与者 | ||||||||
| 寄与者タイプ | Editor | |||||||
| 姓名 | 社会科学における統計分析拠点構築 = Research Unit for Statistical Analysis in Social Sciences | |||||||
| 言語 | en | |||||||
| アクセス権 | ||||||||
| アクセス権 | open access | |||||||
| アクセス権URI | http://purl.org/coar/access_right/c_abf2 | |||||||
| 主題 | ||||||||
| 主題Scheme | Other | |||||||
| 主題 | Dynamic panel data | |||||||
| 主題 | ||||||||
| 主題Scheme | Other | |||||||
| 主題 | Residual based GMM t-test | |||||||
| 主題 | ||||||||
| 主題Scheme | Other | |||||||
| 主題 | m2 and Sargan tests | |||||||
| 内容記述 | ||||||||
| 内容記述タイプ | Other | |||||||
| 内容記述 | February 24, 2005 | |||||||
| 言語 | en | |||||||
| 内容記述 | ||||||||
| 内容記述タイプ | Abstract | |||||||
| 内容記述 | This paper presents an autocorrelation test that is applicable to dynamic panel data models with serially correlated errors. Our residual-based GMM t-test (hereafter: t-test) differs from the m2 and Sargan's over-identifying restriction (hereafter: Sargan test) in Arellano and Bond (1991), both of which are based on residuals from the first-difference equation. It is a significance test which is applied after estimating a dynamic model by the instrumental variable (IV) method and is directly applicable to any other consistently estimated residual. Two interesting points are found: the test depends only on the consistency of the first-step estimation, not on its efficiency; and the test is applicable to both forms of serial correlation (i.e., AR(1) or MA(1)). Monte Carlo simulations are also performed to study the practical performance of these three tests, the m2, the Sargan and the t-test for models with first-order auto-regressive AR(1) and first-order moving-average MA(1) serial correlation. The m2 and Sargan test statistics appear to accept too often in small samples even when the autocorrelation coefficient approaches unity in the AR(1) disturbance. Overall, our residual based t-test has considerably more power than the m2 test or the Sargan test. | |||||||
| 出版者 | ||||||||
| 出版者 | Institute of Economic Research, Hitotsubashi University | |||||||
| 日付 | ||||||||
| 日付 | 2005-02 | |||||||
| 日付タイプ | Issued | |||||||
| 言語 | ||||||||
| 言語 | eng | |||||||
| 資源タイプ | ||||||||
| 資源タイプ識別子 | http://purl.org/coar/resource_type/c_18gh | |||||||
| 資源タイプ | technical report | |||||||
| 出版タイプ | ||||||||
| 出版タイプ | VoR | |||||||
| 出版タイプResource | http://purl.org/coar/version/c_970fb48d4fbd8a85 | |||||||
| 関連情報 | ||||||||
| 関連タイプ | isPartOf | |||||||
| 関連名称 | Hi-Stat Discussion paper series ; No. d04-77 | |||||||
| 関連情報 | ||||||||
| 識別子タイプ | URI | |||||||
| 関連識別子 | http://21coe.ier.hit-u.ac.jp/english/index.html | |||||||
| ページ数 | ||||||||
| ページ数 | 16 | |||||||
| Sponsorship | ||||||||
| 値 | 21世紀COEプログラム = 21st-Century COE Program | |||||||
