Arbeitspapier

On GMM estimation of linear dynamic panel data models

The linear dynamic panel data model provides a possible avenue to deal with unobservable individual-specific heterogeneity and dynamic relationships in panel data. The model structure renders standard estimation techniques inconsistent. Estimation and inference can, however, be carried out with the generalized method of moments (GMM) by suitably aggregating population orthogonality conditions directly deduced from the underlying modeling assumptions. Different variations of these assumptions are proposed in the literature - often lacking a thorough discussion of the implications for estimation and inference. This paper aims to enhance the understanding of the assumptions and their interplay by connecting the assumptions and the conditions required to establish identification and consistency, derive the asymptotic properties, and carry out inference for the GMM estimator.

Language
Englisch

Bibliographic citation
Series: Passauer Diskussionspapiere - Betriebswirtschaftliche Reihe ; No. B-36-19

Classification
Management
Econometric and Statistical Methods and Methodology: General
Single Equation Models; Single Variables: Panel Data Models; Spatio-temporal Models
Subject
GMM
linear dynamic panel data model
identi cation
large sample properties
inference

Event
Geistige Schöpfung
(who)
Fritsch, Markus
Event
Veröffentlichung
(who)
Universität Passau, Wirtschaftswissenschaftliche Fakultät
(where)
Passau
(when)
2019

Handle
Last update
10.03.2025, 11:43 AM CET

Data provider

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Object type

  • Arbeitspapier

Associated

  • Fritsch, Markus
  • Universität Passau, Wirtschaftswissenschaftliche Fakultät

Time of origin

  • 2019

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