메뉴 건너뛰기




Volumn 46, Issue , 2008, Pages 249-278

Dynamic Models for Short Panels

Author keywords

Individual Effect; Instrumental Variable; Orthogonality Condition; Panel Data; Serial Correlation

Indexed keywords


EID: 85064937080     PISSN: 15705811     EISSN: 22147977     Source Type: Book Series    
DOI: 10.1007/978-3-540-75892-1_8     Document Type: Chapter
Times cited : (33)

References (44)
  • 1
    • 0346651130 scopus 로고
    • Efficient Estimation of Models for Dynamic Panel Data
    • Vol., No., pp
    • Ahn S.C. and P. Schmidt (1995), Efficient Estimation of Models for Dynamic Panel Data, Journal of Econometrics, Vol. 68, No. 1, pp. 5–27.
    • (1995) Journal of Econometrics , vol.68 , Issue.1 , pp. 5-27
    • Ahn, S.C.1    Schmidt, P.2
  • 2
    • 0001224645 scopus 로고    scopus 로고
    • Efficient Estimation of Dynamic Panel Data Models: Alternative Assumptions and Simplified Estimation
    • Vol., No., pp
    • Ahn S.C. and P. Schmidt (1997), Efficient Estimation of Dynamic Panel Data Models: Alternative Assumptions and Simplified Estimation, Journal of Econometrics, Vol. 76, No. 1–2, pp. 309–321.
    • (1997) Journal of Econometrics , vol.76 , Issue.1-2 , pp. 309-321
    • Ahn, S.C.1    Schmidt, P.2
  • 3
    • 0005203150 scopus 로고    scopus 로고
    • Estimation of Linear Panel Data Models Using GMM
    • L. Mátyás ed., pp., Cambridge University Press, Cambridge
    • Ahn S.C. and P. Schmidt (1999), Estimation of Linear Panel Data Models Using GMM, in Generalised Method of Moments Estimation, L. Mátyás ed., pp. 211–245, Cambridge University Press, Cambridge.
    • (1999) Generalised Method of Moments Estimation , pp. 211-245
    • Ahn, S.C.1    Schmidt, P.2
  • 4
    • 0141718495 scopus 로고    scopus 로고
    • The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators
    • Vol., pp
    • Alvarez J. and M. Arellano (2003), The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators, Econometrica, Vol. 71, pp. 1121–1159.
    • (2003) Econometrica , vol.71 , pp. 1121-1159
    • Alvarez, J.1    Arellano, M.2
  • 5
    • 0001696502 scopus 로고
    • Instrumental Estimation of an Error Components Model
    • Vol., pp
    • Amemiya T. and T.E. MaCurdy (1986), Instrumental Estimation of an Error Components Model, Econometrica, Vol. 54, pp. 869–881.
    • (1986) Econometrica , vol.54 , pp. 869-881
    • Amemiya, T.1    Macurdy, T.E.2
  • 6
    • 49049140143 scopus 로고
    • Formulation and Estimation of Dynamic Models Using Panel Data
    • Vol., pp
    • Anderson T.W. and C. Hsiao (1982), Formulation and Estimation of Dynamic Models Using Panel Data, Journal of Econometrics, Vol. 18, pp. 578–606.
    • (1982) Journal of Econometrics , vol.18 , pp. 578-606
    • Anderson, T.W.1    Hsiao, C.2
  • 7
    • 38249005088 scopus 로고
    • A Note on the Anderson–Hsiao Estimator for Panel Data
    • Vol., pp
    • Arellano, M. (1989), A Note on the Anderson–Hsiao Estimator for Panel Data, Economics Letters, Vol. 31, pp. 337–341.
    • (1989) Economics Letters , vol.31 , pp. 337-341
    • Arellano, M.1
  • 8
    • 84881844837 scopus 로고
    • Some Tests of Specification for Panel Data: Monte-Carlo Evidence and an Application to Employment Equations
    • Vol., pp
    • Arellano M. and S. Bond (1991), Some Tests of Specification for Panel Data: Monte-Carlo Evidence and an Application to Employment Equations, Review of Economic Studies, Vol. 58, pp. 127–134.
    • (1991) Review of Economic Studies , vol.58 , pp. 127-134
    • Arellano, M.1    Bond, S.2
  • 9
    • 58149364940 scopus 로고
    • Another Look at the Instrumental Variables Estimation of Error-Components Models
    • Vol., No., pp
    • Arellano M. and O. Bover (1995), Another Look at the Instrumental Variables Estimation of Error-Components Models, Journal of Econometrics, Vol. 68, No. 1, pp. 29–51.
    • (1995) Journal of Econometrics , vol.68 , Issue.1 , pp. 29-51
    • Arellano, M.1    Bover, O.2
  • 10
    • 0001640839 scopus 로고
    • Pooling Cross-Section and Time-Series Data in the Estimation of a Dynamic Model: The Demand for Natural Gas
    • Vol., pp
    • Balestra P. and M. Nerlove (1966), Pooling Cross-Section and Time-Series Data in the Estimation of a Dynamic Model: The Demand for Natural Gas, Econometrica, Vol. 34, pp. 585–612.
    • (1966) Econometrica , vol.34 , pp. 585-612
    • Balestra, P.1    Nerlove, M.2
  • 11
    • 0001306709 scopus 로고
    • Estimating Dynamic Random Effects Models from Panel Data Covering Short Time Periods
    • Vol., pp
    • Bhargava, A. and J.D. Sargan (1983), Estimating Dynamic Random Effects Models from Panel Data Covering Short Time Periods, Econometrica, Vol. 51, pp. 1635–1659.
    • (1983) Econometrica , vol.51 , pp. 1635-1659
    • Bhargava, A.1    Sargan, J.D.2
  • 12
    • 0001438979 scopus 로고    scopus 로고
    • Initial Conditions and Moment Restrictions in Dynamic Panel Data Models
    • Vol., pp
    • Blundell R. and S. Bond (1998), Initial Conditions and Moment Restrictions in Dynamic Panel Data Models, Journal of Econometrics, Vol. 87, pp. 115–143.
    • (1998) Journal of Econometrics , vol.87 , pp. 115-143
    • Blundell, R.1    Bond, S.2
  • 14
    • 15244353834 scopus 로고    scopus 로고
    • Finite Sample Inference for GMM Estimators in Linear Panel Data Models
    • Vol., pp
    • Bond S. and F. Windmeijer (2005), Finite Sample Inference for GMM Estimators in Linear Panel Data Models, Econometric Reviews, Vol. 24, pp. 1–37.
    • (2005) Econometric Reviews , vol.24 , pp. 1-37
    • Bond, S.1    Windmeijer, F.2
  • 15
    • 84871768280 scopus 로고
    • Problems with Instrumental Variables Estimation When the Correlation Between the Instruments and the Endogenous Explanatory Variable is Weak
    • Vol., pp
    • Bound J., D.A. Jaeger and R.M. Baker (1995), Problems with Instrumental Variables Estimation When the Correlation Between the Instruments and the Endogenous Explanatory Variable is Weak, Journal of the American Statistical Association, Vol. 90, pp. 443–450.
    • (1995) Journal of the American Statistical Association , vol.90 , pp. 443-450
    • Bound, J.1    Jaeger, D.A.2    Baker, R.M.3
  • 16
    • 0001147153 scopus 로고
    • Efficient Estimation Using Panel Data
    • Vol., pp
    • Breusch T.S., Mizon G.E. and P. Schmidt (1989), Efficient Estimation Using Panel Data, Econometrica, Vol. 57, pp. 695–700.
    • (1989) Econometrica , vol.57 , pp. 695-700
    • Breusch, T.S.1    Mizon, G.E.2    Schmidt, P.3
  • 17
    • 0002143176 scopus 로고
    • Multivariate Regression Models for Panel Data
    • Vol., No., pp
    • Chamberlain, G. (1982), Multivariate Regression Models for Panel Data, Journal of Econometrics, Vol. 18, No. 1, pp. 5–46.
    • (1982) Journal of Econometrics , vol.18 , Issue.1 , pp. 5-46
    • Chamberlain, G.1
  • 18
    • 0036220263 scopus 로고    scopus 로고
    • A New Specification Test for the Validity of Instrumental Variables
    • Vol., pp
    • Hahn J. and J. Hausman (2002), A New Specification Test for the Validity of Instrumental Variables, Econometrica, Vol. 70, pp. 163–189.
    • (2002) Econometrica , vol.70 , pp. 163-189
    • Hahn, J.1    Hausman, J.2
  • 19
    • 0000414660 scopus 로고
    • Large Sample Properties of Generalised Method of Moments Estimators
    • Vol., pp
    • Hansen L. (1982), Large Sample Properties of Generalised Method of Moments Estimators, Econometrica, Vol. 50, pp. 1029–1054.
    • (1982) Econometrica , vol.50 , pp. 1029-1054
    • Hansen, L.1
  • 21
    • 0039762210 scopus 로고    scopus 로고
    • Performance of the Operational Wansbeek–Bekker Estimator for Dynamic Panel Data Models
    • Vol., No., pp
    • Harris M.N. and L. Mátyás (2000), Performance of the Operational Wansbeek–Bekker Estimator for Dynamic Panel Data Models, Applied Economics Letters, Vol. 7, No. 3, pp. 149–153.
    • (2000) Applied Economics Letters , vol.7 , Issue.3 , pp. 149-153
    • Harris, M.N.1    Mátyás, L.2
  • 22
    • 10244276994 scopus 로고    scopus 로고
    • A Comparative Analysis of Different IV and GMM Estimators of Dynamic Panel Data Models
    • Vol., No., pp
    • Harris M.N. and L. Mátyás (2004), A Comparative Analysis of Different IV and GMM Estimators of Dynamic Panel Data Models, International Statistical Review, Vol. 72, No. 3, pp. 397–408.
    • (2004) International Statistical Review , vol.72 , Issue.3 , pp. 397-408
    • Harris, M.N.1    Mátyás, L.2
  • 23
    • 0000250716 scopus 로고
    • Specification Tests in Econometrics
    • Vol., pp
    • Hausman J. (1978), Specification Tests in Econometrics, Econometrica, Vol. 46, pp. 1251–1271.
    • (1978) Econometrica , vol.46 , pp. 1251-1271
    • Hausman, J.1
  • 24
    • 0000740902 scopus 로고
    • Panel Data and Unobservable Individual Effects
    • Vol., pp
    • Hausman J. and W.E. Taylor (1981), Panel Data and Unobservable Individual Effects, Econometrica, Vol. 49, pp. 1377–1398.
    • (1981) Econometrica , vol.49 , pp. 1377-1398
    • Hausman, J.1    Taylor, W.E.2
  • 25
    • 0003083292 scopus 로고    scopus 로고
    • Estimating Dynamic Panel Data Models: A guide for Macroe-conomists
    • Vol., pp
    • Judson R.A. and A.L. Owen, 1999, Estimating Dynamic Panel Data Models: A guide for Macroe-conomists, Economics Letters, Vol. 65, pp. 9–15.
    • (1999) Economics Letters , vol.65 , pp. 9-15
    • Judson, R.A.1    Owen, A.L.2
  • 26
    • 0018913365 scopus 로고
    • The Existence of K-Class Estimators
    • Vol., pp
    • Kinal T.W. (1980), The Existence of K-Class Estimators, Econometrica, Vol. 48, pp. 241–249.
    • (1980) Econometrica , vol.48 , pp. 241-249
    • Kinal, T.W.1
  • 27
    • 52149088619 scopus 로고
    • On Bias, Inconsistency and Efficiency of Various Estimators in Dynamic Panel Data Models
    • Vol., No., pp
    • Kiviet J.F. (1995), On Bias, Inconsistency and Efficiency of Various Estimators in Dynamic Panel Data Models, Journal of Econometrics, Vol. 68, No. 1, pp. 53–78.
    • (1995) Journal of Econometrics , vol.68 , Issue.1 , pp. 53-78
    • Kiviet, J.F.1
  • 28
    • 0031657539 scopus 로고    scopus 로고
    • Growth Convergence: Some Panel Data Evidence
    • Vol., No., pp
    • Lee M., R. Longmire, L. Mátyás and M.N. Harris (1998), Growth Convergence: Some Panel Data Evidence, Applied Economics, Vol. 30, No. 7, pp. 907–912.
    • (1998) Applied Economics , vol.30 , Issue.7 , pp. 907-912
    • Lee, M.1    Longmire, R.2    Mátyás, L.3    Harris, M.N.4
  • 29
    • 0000591339 scopus 로고
    • The Use of Variance Components Models in Pooling Cross-Section and Time Series Data
    • Vol., pp
    • Maddala G.S. (1971), The Use of Variance Components Models in Pooling Cross-Section and Time Series Data, Econometrica, Vol. 39, pp. 341–358.
    • (1971) Econometrica , vol.39 , pp. 341-358
    • Maddala, G.S.1
  • 30
    • 0002959514 scopus 로고    scopus 로고
    • Firm-Level Investment in France and the United States: An Exploration of What We Have Learned in Twenty Years
    • No., pp
    • Mairesse J., B. Hall, B. Mulkay (1999), Firm-Level Investment in France and the United States: An Exploration of What We Have Learned in Twenty Years, Annales d’Economie et de Statistique, No. 55–56, pp. 27–68.
    • (1999) Annales d’Economie Et De Statistique , Issue.55-56 , pp. 27-68
    • Mairesse, J.1    Hall, B.2    Mulkay, B.3
  • 32
    • 0000604269 scopus 로고
    • Biases in Models with Fixed Effects
    • Vol., pp
    • Nickell S. (1981), Biases in Models with Fixed Effects, Econometrica, Vol. 49, pp. 1417–1426.
    • (1981) Econometrica , vol.49 , pp. 1417-1426
    • Nickell, S.1
  • 34
    • 0001755034 scopus 로고
    • The Estimation of Economic Relationships Using Instrumental Variables
    • Vol., pp
    • Sargan J.D. (1958), The Estimation of Economic Relationships Using Instrumental Variables, Econometrica, Vol. 26, pp. 393–415.
    • (1958) Econometrica , vol.26 , pp. 393-415
    • Sargan, J.D.1
  • 36
    • 0012881554 scopus 로고
    • A Note on Autoregressive Error Component Models
    • Vol., No., pp
    • Sevestre P. and A. Trognon (1985), A Note on Autoregressive Error Component Models, Journal of Econometrics, Vol. 28, No. 2, pp. 231–245.
    • (1985) Journal of Econometrics , vol.28 , Issue.2 , pp. 231-245
    • Sevestre, P.1    Trognon, A.2
  • 37
    • 84857315961 scopus 로고
    • Proprietes de Grands Echantillons d’une Classe d’Estimateurs Des Modèles Autorégressifs à Erreurs Composées
    • pp
    • Sevestre P. and A. Trognon (1983), Proprietes de Grands Echantillons d’une Classe d’Estimateurs Des Modèles Autorégressifs à Erreurs Composées, Annales de l’INSEE, No. 50, pp. 25–49.
    • (1983) Annales De l’INSEE, No , Issue.50 , pp. 25-49
    • Sevestre, P.1    Trognon, A.2
  • 38
    • 85064916263 scopus 로고
    • Consistent Estimation Methods for Dynamic Error Component Models: Small and Large Sample Properties
    • Sevestre P. and Trognon, A. (1990), Consistent Estimation Methods for Dynamic Error Component Models: Small and Large Sample Properties, ERUDITE WP No. 90–03.
    • (1990) ERUDITE WP , pp. 90-03
    • Sevestre, P.1    Trognon, A.2
  • 39
    • 0001213058 scopus 로고    scopus 로고
    • Instrumental Relevance in Multivariate Linear Models: A Simple Measure
    • Vol., pp
    • Shea J. (1997), Instrumental Relevance in Multivariate Linear Models: A Simple Measure, The Review of Economics and Statistics, Vol. 79, pp. 348–352.
    • (1997) The Review of Economics and Statistics , vol.79 , pp. 348-352
    • Shea, J.1
  • 40
    • 26444442761 scopus 로고
    • Miscellaneous Asymptotic Properties of Ordinary Least Squares and Maximum-Likelihood Methods in Dynamic Error-Components Models
    • pp
    • Trognon, A. (1978), Miscellaneous Asymptotic Properties of Ordinary Least Squares and Maximum-Likelihood Methods in Dynamic Error-Components Models, Annales de l’INSEE, Vol. 30–31, pp. 631–657.
    • (1978) Annales De l’INSEE , Issue.30-31 , pp. 631-657
    • Trognon, A.1
  • 41
    • 0001436154 scopus 로고    scopus 로고
    • Inference on Structural Parameters in Instrumental Variables Regression with Weak Instruments
    • Vol., pp
    • Wang J. and E. Zivot (1998), Inference on Structural Parameters in Instrumental Variables Regression with Weak Instruments, Econometrica, Vol. 66, pp. 1389–1404.
    • (1998) Econometrica , vol.66 , pp. 1389-1404
    • Wang, J.1    Zivot, E.2
  • 42
    • 0030537318 scopus 로고    scopus 로고
    • On IV, GMM and ML in a Dynamic Panel Data Model
    • Vol., No., pp
    • Wansbeek T. and P. Bekker (1996), On IV, GMM and ML in a Dynamic Panel Data Model, Economic Letters, Vol. 51, No. 2, pp. 145–152.
    • (1996) Economic Letters , vol.51 , Issue.2 , pp. 145-152
    • Wansbeek, T.1    Bekker, P.2
  • 43
    • 10444289824 scopus 로고    scopus 로고
    • A Finite Sample Correction for the Variance of Linear Efficient Two-Step GMM Estimators
    • Vol., No., pp
    • Windmeijer F. (2005), A Finite Sample Correction for the Variance of Linear Efficient Two-Step GMM Estimators, Journal of Econometrics,Vol. 126, No. 1, pp. 25–51.
    • (2005) Journal of Econometrics , vol.126 , Issue.1 , pp. 25-51
    • Windmeijer, F.1
  • 44
    • 18744382211 scopus 로고    scopus 로고
    • More Results on the Exact Small Sample Properties of the Instrumental Variable Estimator
    • Vol., pp
    • Woglom G. (2001), More Results on the Exact Small Sample Properties of the Instrumental Variable Estimator, Econometrica, Vol. 69, pp. 1381–1389.
    • (2001) Econometrica , vol.69 , pp. 1381-1389
    • Woglom, G.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.