A0919
Title: Estimation of linear dynamic panel data models based on nonlinear moment conditions
Authors: Markus Fritsch - University of Passau (Germany)
Andrew Adrian Yu Pua - De La Salle University Manila (Philippines)
Joachim Schnurbus - University of Passau (Germany) [presenting]
Abstract: The focus is on estimating the lag parameter of linear AR(1) panel data models based on nonlinear moment conditions with an instrumental variables (IV) approach. The properties of the estimator under large-n fixed-T settings and under large-n large-T sequential asymptotics are derived. Additionally, the behavior in the near unit root case is investigated, the implications of using an alternative formulation of the moment conditions on the asymptotic results are considered, and the consequences of the presence of predetermined regressors are detailed. Simulation results illustrate the finite sample properties of the estimator compared to alternative estimators based on data-generating processes from the literature. An empirical application demonstrates how to apply the estimator.
