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On the Effect of Nonstationary Initial Conditions in Dynamic Panel Data Models
http://hdl.handle.net/10086/15716
http://hdl.handle.net/10086/1571679369ee4-3c3d-4070-8600-3c2cca63bd9d
| 名前 / ファイル | ライセンス | アクション |
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D07-245.pdf (986370 bytes)
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| 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) | |||||||||||
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| 公開日 | 2017-05-20 | |||||||||||
| タイトル | ||||||||||||
| タイトル | On the Effect of Nonstationary Initial Conditions in Dynamic Panel Data Models | |||||||||||
| 言語 | en | |||||||||||
| 作成者 |
早川, 和彦
× 早川, 和彦
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| 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 models | |||||||||||
| 主題 | ||||||||||||
| 主題Scheme | Other | |||||||||||
| 主題 | many instruments | |||||||||||
| 主題 | ||||||||||||
| 主題Scheme | Other | |||||||||||
| 主題 | generalized method of moments estimator | |||||||||||
| 主題 | ||||||||||||
| 主題Scheme | Other | |||||||||||
| 主題 | nonstationary initial conditions | |||||||||||
| 主題 | ||||||||||||
| 主題Scheme | Other | |||||||||||
| 主題 | degree of heterogeneity | |||||||||||
| 内容記述 | ||||||||||||
| 内容記述タイプ | Other | |||||||||||
| 内容記述 | This paper is a revised version of chapter three of my Ph.D dissertation submitted to Hitotsubashi University and previously circulated under the title “Efficient GMM Estimation of Dynamic Panel Data Models Where Large Heterogeneity May Be Present.” | |||||||||||
| 言語 | en | |||||||||||
| 内容記述 | ||||||||||||
| 内容記述タイプ | Other | |||||||||||
| 内容記述 | First Draft: January 2006; This version: March 2008 | |||||||||||
| 内容記述 | ||||||||||||
| 内容記述タイプ | Abstract | |||||||||||
| 内容記述 | In this paper, we consider dynamic panel data models with possibly nonstationary initial conditions. We derive the asymptotic properties of the GMM estimators with various kinds of instruments when both N and T are large, where N and T denote the dimensions of the cross section and time series. We find that when initial conditions are nonstationary and the degree of heterogeneity, which is measured by the variance ratio of individual effects to the disturbances, is large, the biases and variances of the GMM estimators become small. We demonstrate that this is because the correlation between the lagged dependent variable and instruments gets larger due to the unremoved individual effects. This implies that the instruments become strong when initial conditions are nonstationary and the degree of heterogeneity is large. For the purpose of comparison, we also derive the asymptotic properties of the within groups and the LIML estimators. Numerical studies are conducted to assess the properties of these estimators. | |||||||||||
| 出版者 | ||||||||||||
| 出版者 | Institute of Economic Research, Hitotsubashi University | |||||||||||
| 日付 | ||||||||||||
| 日付 | 2008-03 | |||||||||||
| 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. 245 | |||||||||||
| 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 | |||||||||||
| Sponsorship | ||||||||||||
| 値 | 21世紀COEプログラム = 21st-Century COE Program | |||||||||||
| JEL | ||||||||||||
| 値 | C13 | |||||||||||
| JEL | ||||||||||||
| 値 | C23 | |||||||||||
