کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
6869165 | 681495 | 2016 | 19 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Neighbourhood GMM estimation of dynamic panel data models
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
مهندسی کامپیوتر
نظریه محاسباتی و ریاضیات
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
A new approach is developed for estimation of short dynamic panel data models with spatially correlated errors. The method employs an additional set of moment conditions that become available for each i-specifically, instruments with respect to the individual(s) which unit i is spatially correlated with. These moment conditions are non-redundant and remain informative even if the data generating process is close to a unit root one. The proposed GMM estimator is consistent and asymptotically normally distributed. An extensive Monte Carlo study also builds a GMM estimator that combines spatial and standard instruments. This estimator appears to perform very well under a wide range of parametrisations in terms of both bias and root mean square error. The proposed method is illustrated using crime data based on a panel of 153 local government areas in NSW, spanning a period of 5Â years.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Computational Statistics & Data Analysis - Volume 100, August 2016, Pages 526-544
Journal: Computational Statistics & Data Analysis - Volume 100, August 2016, Pages 526-544
نویسندگان
Vasilis Sarafidis,