کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5095792 | 1376484 | 2015 | 11 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
IV, GMM or likelihood approach to estimate dynamic panel models when either N or T or both are large
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: IV, GMM or likelihood approach to estimate dynamic panel models when either N or T or both are large IV, GMM or likelihood approach to estimate dynamic panel models when either N or T or both are large](/preview/png/5095792.png)
چکیده انگلیسی
We examine the asymptotic properties of IV, GMM or MLE to estimate dynamic panel data models when either NorT or both are large. We show that the Anderson and Hsiao (1981, 1982) simple instrumental variable estimator (IV) or maximizing the likelihood function with initial value distribution properly treated (quasi-maximum likelihood estimator) is asymptotically unbiased when either N or T or both tend to infinity. On the other hand, the QMLE mistreating the initial value as fixed is asymptotically unbiased only if N is fixed and T is large. If both N and T are large and NTâc (câ 0,c<â) as Tââ, it is asymptotically biased of order NT. We also explore the source of the bias of the Arellano and Bond (1991) type GMM estimator. We show that it is asymptotically biased of order TN if TNâc (câ 0,c<â) as Nââ even if we restrict the number of instruments used. Monte Carlo studies show that whether an estimator is asymptotically biased or not has important implications on the actual size of the conventional t-test.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 187, Issue 1, July 2015, Pages 312-322
Journal: Journal of Econometrics - Volume 187, Issue 1, July 2015, Pages 312-322
نویسندگان
Cheng Hsiao, Junwei Zhang,