Econometric Analysis of Panel Data Dynamic Panel Data Analysis –First Difference Model –Instrumental Variables Method –Generalized Method of Moments –Arellano-Bond-Bover.

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Presentation transcript:

Econometric Analysis of Panel Data Dynamic Panel Data Analysis –First Difference Model –Instrumental Variables Method –Generalized Method of Moments –Arellano-Bond-Bover Estimator

Dynamic Panel Data Analysis The Model

Dynamic Panel Data Analysis The Model

Dynamic Panel Data Analysis Model Assumptions: First-Difference Model

Dynamic Panel Data Analysis Instrumental Variables

Dynamic Panel Data Analysis Instrumental Variables

Dynamic Panel Data Analysis Instrumental Variables Method

Dynamic Panel Data Model Instrumental Variables Estimation HAC Variance-Covariance Matrix

Dynamic Panel Data Model Arellano-Bond Estimator is based on Generalized Method of Moments (GMM) –With a proper choice of a p.d.f. weighting matrix γ

Arellano-Bond Estimator

Notations

Arellano-Bond Estimator First-step GMM Estimator

Arellano-Bond Estimator Second-step GMM Estimator

Example: Returns to Schooling Cornwell and Rupert Model (1988) Data (575 individuals over 7 years) –Dependent Variable y it : LWAGE = log of wage –Explanatory Variables x it : Time-Variant Variables x1 it : –EXP = work experience WKS = weeks worked  endogenous OCC = occupation, 1 if blue collar, IND = 1 if manufacturing industry SOUTH = 1 if resides in south SMSA = 1 if resides in a city (SMSA) MS = 1 if married UNION = 1 if wage set by union contract Time-Invariant Variables x2 i : –ED = years of education  endogenous FEM = 1 if female BLK = 1 if individual is black