Estimation of time-varying coefficient dynamic panel data models

被引：1

作者：

Hayakawa, Kazuhiko ^{[1
]}

Hou, Jie ^{[1
]}

机构：

[1] Hiroshima Univ, Dept Econ, 1-2-1 Kagamiyama, Higashihiroshima, Hiroshima 7398525, Japan

来源：

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 2019年 / 48卷 / 13期

关键词：

dynamic panel data model; GMM; ML; time-varying parameter;

D O I：

10.1080/03610926.2018.1476704

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this paper, we consider dynamic panel data models where the autoregressive parameter changes over time. We propose the GMM and ML estimators for this model. We conduct Monte Carlo simulation to compare the performance of these two estimators. The simulation results show that the ML estimator outperforms the GMM estimator.

引用

页码：3311 / 3324

页数：14

共 50 条

[31] GMM gradient tests for spatial dynamic panel data models
Taspinar, Suleyman
Dogan, Osman
Bera, Anil K.
REGIONAL SCIENCE AND URBAN ECONOMICS, 2017, 65 : 65 - 88
[32] Dynamic panel models with Directors' and Officers' liability insurance data
Kaltchev, George D.
PANEL DATA ECONOMETRICS: THEORETICAL CONTRIBUTIONS AND EMPIRICAL APPLICATIONS, 2006, 274 : 351 - 360
[33] Estimation of semiparametric varying-coefficient spatial autoregressive models with missing in the dependent variable
Luo, Guowang
Wu, Mixia
Pang, Zhen
JOURNAL OF THE KOREAN STATISTICAL SOCIETY, 2020, 49 (04) : 1148 - 1172
[34] Initial conditions and moment restrictions in dynamic panel data models
Blundell, R
Bond, S
JOURNAL OF ECONOMETRICS, 1998, 87 (01) : 115 - 143
[35] Linear time-varying regression with Copula-DCC-GARCH models for volatility
Kim, Jong-Min
Jung, Hojin
ECONOMICS LETTERS, 2016, 145 : 262 - 265
[36] A novel method to select time-varying multivariate time series models for the surveillance of infectious diseases
Yu, Jie
Wang, Huimin
Chen, Miaoshuang
Han, Xinyue
Deng, Qiao
Yang, Chen
Zhu, Wenhui
Ma, Yue
Yin, Fei
Weng, Yang
Yang, Changhong
Zhang, Tao
BMC INFECTIOUS DISEASES, 2024, 24 (01)
[37] Model averaging estimation of panel data models with many instruments and boosting
Hao, Hao
Huang, Bai
Lee, Tae-hwy
JOURNAL OF APPLIED STATISTICS, 2024, 51 (01) : 53 - 69
[38] LP-STABILITY OF ESTIMATION ERRORS OF KALMAN FILTER FOR TRACKING TIME-VARYING PARAMETERS
ZHANG, JF
GUO, L
CHEN, HF
INTERNATIONAL JOURNAL OF ADAPTIVE CONTROL AND SIGNAL PROCESSING, 1991, 5 (03) : 155 - 174
[39] Rank-based instrumental variable estimation for semiparametric varying coefficient spatial autoregressive models
Tang, Yangbing
Zhang, Zhongzhan
Du, Jiang
STATISTICAL PAPERS, 2024, 65 (03) : 1805 - 1839
[40] Reprint of: Initial conditions and moment restrictions in dynamic panel data models
Blundell R.
Bond S.
Journal of Econometrics, 2023, 234 : 38 - 55

← 1 2 3 4 5 →