1. Econometric Analysis of Panel Data
William Greene Department of Economics Stern School of Business

2. The Hausman and Taylor RE Model

3. A Useful Result: LSDV is an IV Estimator

4. Hausman and Taylor Use that Result

5. H&T’s FGLS Estimator

6. H&T’s FGLS Estimator (cont.)

7. H&T’s 4 STEP IV Estimator

8. The Hausman and Taylor Application: NLSY Wage Equation

9. Standard Textbook Application Based on Cornwell and Rupert

12. Is marital status really endogenous?

13. Dynamic (Linear) Panel Data (DPD) Models
Application
Bias in Conventional Estimation
Development of Consistent Estimators
Efficient GMM Estimators

14. THE Dynamic Linear Model

15. A General DPD model

16. OLS and GLS are inconsistent

17. LSDV is Also Inconsistent [(Steven) Nickell Bias]

18. IV Estimation of the DPD Model Anderson Hsiao IV Estimator

19. Arellano and Bond Estimator - 1

20. Arellano and Bond Estimator - 2

21. Ahn and Schmidt

22. Arellano/Bond/Bover’s Formulation Start with H&T

23. Arellano/Bond/Bover’s Formulation Dynamic Model

24. Arellano/Bond/Bover’s Formulation

25. Arellano/Bond/Bover Estimator

26. GMM Criterion

27. Application: Maquiladora

28. Maquiladora

31. Postscript There is no theoretical guidance on the instrument set
There is no theoretical guidance on the form of the covariance matrix
There is no theoretical guidance on the number of lags at any level of the model
There is no theoretical guidance on the form of the exogeneity – and it is not testable.
Results vary wildly with small variations in the assumptions.

32. Appendix

33. The Panel Data Case

34. GMM Estimation for One Equation

35. GMM for a System of Equations

36. SUR Model with Endogenous RHS Variables

37. GMM for the System - Notation

38. Instruments

39. Moment Equations

40. Estimation-1

41. Estimation-2

42. Estimation-3

43. Estimation-4

44. Estimation-5

45. Arellano and Bond Estimator - 3

46. Arellano and Bover Instrumental Variables Approach

47. Simple IV Estimation

48. Arellano/Bond/Bover’s Formulation
These blocks may contain all previous exogenous variables, or all exogenous variables for all periods.
This may contain the all periods of data on x1 rather than just the group mean. (Amemiya and MaCurdy).

49. Arellano/Bond/Bover’s Formulation

50. Arellano/Bond First Difference Formulation

51. Arellano/Bond - GLS

52. Arellano/Bond GLS Estimator

53. GMM Estimator

54. http://people. stern. nyu

56. The NYU No Action Letter

58. Arellano/Bond/Bover’s Formulation
For unbalanced panels the number of columns for Zi varies. Given the form of Zi, the number of columns depends on Ti.
We need all Zi to have the same number of columns. For matrices with less columns than the largest one, extra columns of zeros are added.