Subset-Continuous-Updating GMM Estimators for Dynamic Panel Data Models
| dc.contributor.author | Ashley, Richard A. | en |
| dc.contributor.author | Sun, Xiaojin | en |
| dc.contributor.department | Economics | en |
| dc.date.accessioned | 2017-09-20T18:27:17Z | en |
| dc.date.available | 2017-09-20T18:27:17Z | en |
| dc.date.issued | 2016-11-30 | en |
| dc.date.updated | 2017-09-20T18:27:17Z | en |
| dc.description.abstract | The two-step GMM estimators of Arellano and Bond (1991) and Blundell and Bond (1998) for dynamic panel data models have been widely used in empirical work; however, neither of them performs well in small samples with weak instruments. The continuous-updating GMM estimator proposed by Hansen, Heaton, and Yaron (1996) is in principle able to reduce the small-sample bias, but it involves high-dimensional optimizations when the number of regressors is large. This paper proposes a computationally feasible variation on these standard two-step GMM estimators by applying the idea of continuous-updating to the autoregressive parameter only, given the fact that the absolute value of the autoregressive parameter is less than unity as a necessary requirement for the data-generating process to be stationary. We show that our subset-continuous-updating method does not alter the asymptotic distribution of the two-step GMM estimators, and it therefore retains consistency. Our simulation results indicate that the subset-continuous-updating GMM estimators outperform their standard two-step counterparts in finite samples in terms of the estimation accuracy on the autoregressive parameter and the size of the Sargan-Hansen test. | en |
| dc.description.version | Published version | en |
| dc.format.mimetype | application/pdf | en |
| dc.identifier.citation | Ashley, R.A.; Sun, X. Subset-Continuous-Updating GMM Estimators for Dynamic Panel Data Models. Econometrics 2016, 4, 47. | en |
| dc.identifier.doi | https://doi.org/10.3390/econometrics4040047 | en |
| dc.identifier.uri | http://hdl.handle.net/10919/79289 | en |
| dc.language.iso | en | en |
| dc.publisher | MDPI | en |
| dc.rights | Creative Commons Attribution 4.0 International | en |
| dc.rights.uri | http://creativecommons.org/licenses/by/4.0/ | en |
| dc.subject | dynamic panel data models | en |
| dc.subject | Arellano-Bond GMM estimator | en |
| dc.subject | Blundell-Bond GMM estimator | en |
| dc.subject | subset-continuous-updating GMM estimators | en |
| dc.title | Subset-Continuous-Updating GMM Estimators for Dynamic Panel Data Models | en |
| dc.title.serial | Econometrics | en |
| dc.type | Article - Refereed | en |
| dc.type.dcmitype | Text | en |