Estimation of linear dynamic panel data models with time-invariant regressors

Arbeitspapier

We propose a two-stage estimation procedure to identify the effects of time-invariant regressors in a dynamic version of the Hausman-Taylor model. We first estimate the coefficients of the time-varying regressors and subsequently regress the first-stage residuals on the time-invariant regressors providing analytical standard error adjustments for the second-stage coefficients. The two-stage approach is more robust against misspecification than GMM estimators that obtain all parameter estimates simultaneously. In addition, it allows exploiting advantages of estimators relying on transformations to eliminate the unit-specific heterogeneity. We analytically demonstrate under which conditions the one-stage and two-stage GMM estimators are equivalent. Monte Carlo results highlight the advantages of the two-stage approach infinite samples. Finally, the approach is illustrated with the estimation of a dynamic gravity equation for U.S. outward foreign direct investment.

Angaben zum Objekt

• ISBN: 978-92-899-1651-6
• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: ECB Working Paper ; No. 1838

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Estimation: General ; Single Equation Models; Single Variables: Panel Data Models; Spatio-temporal Models ; Multinational Firms; International Business
• Thema: Dynamic gravity equation ; Dynamic panel data ; System GMM ; Time-invariant variables ; Two-stage estimation

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Schwarz, Claudia ; Kripfganz, Sebastian
• Ereignis: Veröffentlichung
• (wer): European Central Bank (ECB)
• (wo): Frankfurt a. M.
• (wann): 2015

Weitere Informationen

• Handle: http://hdl.handle.net/10419/154271
• Letzte Aktualisierung: 10.03.2025, 11:42 MEZ