Serial correlation in dynamic panel data models with weakly exogenous regressor and fixed effects

  • Our paper wants to present and compare two estimation methodologies for dynamic panel data models in the presence of serially correlated errors and weakly exogenous regressors. The ¯rst is the ¯rst di®erence GMM estimator as proposed by Arellano and Bond (1991) and the second is the transformed Maximum Likelihood Estimator as proposed by Hsiao, Pesaran, and Tahmiscioglu (2002). Thereby, we consider the ¯xed e®ects case and weakly exogenous regressors. The ¯nite sample properties of both estimation methodologies are analysed within a simulation experiment. Furthermore, we will present an empirical example to consider the performance of both estimators with real data. JEL Classification: C23, J64

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Author:Reinhard HujerGND, Christopher Zeiss, Paulo Jorge Maurício Rodrigues
Place of publication:Frankfurt am Main
Document Type:Report
Date of Publication (online):2005/11/23
Year of first Publication:2005
Publishing Institution:Universitätsbibliothek Johann Christian Senckenberg
Release Date:2005/11/23
Tag:Beveridge Curve; Dynamic Panel Data; Fixed Effects; Serial Correlation; Simulation
Issue:March 9, 2005
Page Number:23
Institutes:Wirtschaftswissenschaften / Wirtschaftswissenschaften
Dewey Decimal Classification:3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft
Licence (German):License LogoDeutsches Urheberrecht