Open AccessEstimation of Nonlinear Dynamic Panel Data Models with Individual Effects
Author(s) -
Yi Hu,
Dongmei Guo,
Ying Deng,
Shouyang Wang
Publication year - 2014
Publication title -
mathematical problems in engineering
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.262
H-Index - 62
eISSN - 1026-7077
pISSN - 1024-123X
DOI - 10.1155/2014/672610
Subject(s) - endogeneity , orthogonality , mathematics , generalized method of moments , panel data , monte carlo method , distribution (mathematics) , nonlinear system , threshold model , sample (material) , asymptotic distribution , estimation , econometrics , statistics , mathematical analysis , engineering , physics , geometry , chemistry , systems engineering , chromatography , quantum mechanics , estimator
This paper suggests a generalized method of moments (GMM) based estimation for dynamic panel data models with individual specific fixed effects and threshold effects simultaneously. We extend Hansen’s (Hansen, 1999) original setup to models including endogenous regressors, specifically, lagged dependent variables. To address the problem of endogeneity of these nonlinear dynamic panel data models, we prove that the orthogonality conditions proposed by Arellano and Bond (1991) are valid. The threshold and slope parameters are estimated by GMM, and asymptotic distribution of the slope parameters is derived. Finite sample performance of the estimation is investigated through Monte Carlo simulations. It shows that the threshold and slope parameter can be estimated accurately and also the finite sample distribution of slope parameters is well approximated by the asymptotic distribution
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