Arbeitspapier
Moment conditions for dynamic panel data models with multiplicative individual effects in the conditional variance
Moment conditions are derived for dynamic linear panel data models with linear individual specific effects in the mean and multiplicative individual effects in the conditional ARCH type variance function. The relation and correlation between the linear and multiplicative effects are unrestrained. Moment conditions are derived for non-autocorrelated error processes, MA(q) processes, and for models that allow for time varying parameters on both the linear mean effects and multiplicative variance effects. The small sample performance of a GMM estimator is investigated in a Monte Carlo simulation study.
- Language
-
Englisch
- Bibliographic citation
-
Series: IFS Working Papers ; No. W97/21
- Classification
-
Wirtschaft
Estimation: General
Single Equation Models; Single Variables: Panel Data Models; Spatio-temporal Models
- Event
-
Geistige Schöpfung
- (who)
-
Meghir, Costas
Windmeijer, Frank
- Event
-
Veröffentlichung
- (who)
-
Institute for Fiscal Studies (IFS)
- (where)
-
London
- (when)
-
1997
- DOI
-
doi:10.1920/wp.ifs.1997.9721
- Handle
- Last update
-
10.03.2025, 11:45 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Meghir, Costas
- Windmeijer, Frank
- Institute for Fiscal Studies (IFS)
Time of origin
- 1997
Other Objects (12)
Income variance dynamics and heterogeneity
A retrospective on Friedman's theory of permanent income
Dynamic models for policy evaluation
Testing Multiplicative Error Models Using Conditional Moment Tests
Testing multiplicative error models using conditional moment tests
Wages, experience and seniority
The effect of a social experiment in education
Labour supply and taxation
Econometric methods for research in education
Assessing the effect of schooling on earnings using a social experiment
Earnings, consumption and lifecycle choices
Crime and economic incentives
Income variance dynamics and heterogeneity
A retrospective on Friedman's theory of permanent income
Dynamic models for policy evaluation
Testing Multiplicative Error Models Using Conditional Moment Tests
Testing multiplicative error models using conditional moment tests
Wages, experience and seniority
The effect of a social experiment in education
Labour supply and taxation
Econometric methods for research in education
Assessing the effect of schooling on earnings using a social experiment
Earnings, consumption and lifecycle choices
Crime and economic incentives
Income variance dynamics and heterogeneity
A retrospective on Friedman's theory of permanent income
Dynamic models for policy evaluation
Testing Multiplicative Error Models Using Conditional Moment Tests
Testing multiplicative error models using conditional moment tests
Wages, experience and seniority
The effect of a social experiment in education
Labour supply and taxation
Econometric methods for research in education
Assessing the effect of schooling on earnings using a social experiment
Earnings, consumption and lifecycle choices