Arbeitspapier
Panel estimation of state dependent adjustment when the target is unobserved
Understanding adjustment processes has become central in economics. Empirical analysis is fraught with the problem that the target is usually unobserved. This paper develops, simulates and applies GMM methods for estimating dynamic adjustment models in a panel data context with partially unobserved targets and endogenous, time-varying persistence. In this setup, the standard first difference GMM procedure fails. I propose three estimation strategies. One is based on quasi-differencing, and it leads to two different, but related sets of moment conditions. The second is characterised by a statedependent filter, while the third is an adaptation of the GMM level estimator.
- Sprache
-
Englisch
- Erschienen in
-
Series: Discussion Paper Series 1 ; No. 2008,09
- Klassifikation
-
Wirtschaft
Firm Behavior: Theory
Statistical Simulation Methods: General
Single Equation Models; Single Variables: Panel Data Models; Spatio-temporal Models
- Thema
-
Dynamic panel data models
economic adjustment
Panel
Schätztheorie
Wirtschaftliche Anpassung
Simulation
Stochastischer Prozess
Theorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
von Kalckreuth, Ulf
- Ereignis
-
Veröffentlichung
- (wer)
-
Deutsche Bundesbank
- (wo)
-
Frankfurt a. M.
- (wann)
-
2008
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- von Kalckreuth, Ulf
- Deutsche Bundesbank
Entstanden
- 2008
Ähnliche Objekte (12)
Linear panel regressions with two-way unobserved heterogeneity
Identifying the returns to lying when the truth is unobserved
Identifying the returns to lying when the truth is unobserved
Panel data models with nonadditive unobserved heterogeneity: Estimation and inference
Unobserved Delegation
Identification and estimation of nonlinear dynamic panel data models with unobserved covariates
The Inconsistency of Common Scales Estimators when Output Prices are Unobserved and Endogenous
Discretizing unobserved heterogeneity
Discretizing unobserved heterogeneity
Unobserved firm heterogeneity and the size-exports nexus : Evidence from German panel data
Unobserved firm heterogeneity and the size-exports nexus: Evidence from German panel data
Unobserved firm heterogeneity and the size-export nexus : evidence from German panel data
Linear panel regressions with two-way unobserved heterogeneity
Identifying the returns to lying when the truth is unobserved
Identifying the returns to lying when the truth is unobserved
Panel data models with nonadditive unobserved heterogeneity: Estimation and inference
Unobserved Delegation
Identification and estimation of nonlinear dynamic panel data models with unobserved covariates
The Inconsistency of Common Scales Estimators when Output Prices are Unobserved and Endogenous
Discretizing unobserved heterogeneity
Discretizing unobserved heterogeneity
Unobserved firm heterogeneity and the size-exports nexus : Evidence from German panel data
Unobserved firm heterogeneity and the size-exports nexus: Evidence from German panel data
Unobserved firm heterogeneity and the size-export nexus : evidence from German panel data
Linear panel regressions with two-way unobserved heterogeneity
Identifying the returns to lying when the truth is unobserved
Identifying the returns to lying when the truth is unobserved
Panel data models with nonadditive unobserved heterogeneity: Estimation and inference
Unobserved Delegation
Identification and estimation of nonlinear dynamic panel data models with unobserved covariates
The Inconsistency of Common Scales Estimators when Output Prices are Unobserved and Endogenous
Discretizing unobserved heterogeneity
Discretizing unobserved heterogeneity
Unobserved firm heterogeneity and the size-exports nexus : Evidence from German panel data
Unobserved firm heterogeneity and the size-exports nexus: Evidence from German panel data