A0900
Title: A generalized methods of moments approach for a noncausal dynamic panel model
Authors: Kevin Cecere Palazzo - Vrije Universiteit (Netherlands) [presenting]
Sean Telg - Vrije Universiteit Amsterdam (Netherlands)
Siem Jan Koopman - VU Amsterdam (The Netherlands)
Francisco Blasques - VU University Amsterdam (Netherlands)
Abstract: A generalized method of moments approach is proposed for estimation and identification of a noncausal dynamic panel model. The efficiency of the proposed estimator is investigated through the inclusion of additional instruments compared to standard references in the literature on the causal dynamic panel model. A panel framework permits more powerful tools for estimation and identification. A simulation exercise investigates the behavior of the proposed estimator for different assumptions on the data-generating process.
