Efficient estimation of dynamic panel data models: Alternative assumptions and simplified estimation
Efficient estimation of dynamic panel data models: Alternative assumptions and simplified estimation
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DOI：
10.1016/0304-4076(95)01793-3
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发表时间：
1997
影响因子：
6.3
通讯作者：
Seung C. Ahn;P. Schmidt
中科院分区：
文献类型：
--
作者：
Seung C. Ahn;P. Schmidt
本文研究了面板数据动态模型的估计问题。它展示了如何计算和表达各种协方差限制所隐含的矩条件。这些条件可以在GMM框架中施加。许多矩条件的参数是非线性的。我们推导出一个简单的线性化估计，是渐近有效的非线性GMM估计，和方便的测试的有效性的非线性限制。
This paper considers the estimation of dynamic models for panel data. It shows how to count and express the moment conditions implied by a variety of covariance restrictions. These conditions can be imposed in a GMM framework. Many of the moment conditions are nonlinear in the parameters. We derive a simple linearized estimator that is asymptotically as efficient as the nonlinear GMM estimator, and convenient tests of the validity of the nonlinear restrictions.