Panel estimation of state dependent adjustment when the target is unobserved

Arbeitspapier

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Discussion Paper Series 1 ; No. 2008,09

Classification and Topics

• Classification: Wirtschaft ; Firm Behavior: Theory ; Statistical Simulation Methods: General ; Single Equation Models; Single Variables: Panel Data Models; Spatio-temporal Models
• Subject: Dynamic panel data models ; economic adjustment ; Panel ; Schätztheorie ; Wirtschaftliche Anpassung ; Simulation ; Stochastischer Prozess ; Theorie

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): von Kalckreuth, Ulf
• Event: Veröffentlichung
• (who): Deutsche Bundesbank
• (where): Frankfurt a. M.
• (when): 2008

Further information

• Handle: http://hdl.handle.net/10419/19721
• Last update: 10.03.2025, 11:44 AM CET