IDEAS home Printed from https://ideas.repec.org/a/ids/ijcome/v1y2010i3-4p239-253.html
   My bibliography  Save this article

Theory and methodology for dynamic panel data: tested by simulations based on financial data

Author

Listed:
  • Savas Papadopoulos

Abstract

A new method is introduced for panel-data models. Asymptotic robustness is used for a multivariate model with latent variables for a family of estimators. It is shown numerically that in comparison to standard methods we obtain: 1) better predictions in out-of-sample occasions; 2) smaller asymptotic standard errors (a.s.e.s); 3) more accurate a.s.e.s; 4) very small bias. Our methodology handles dynamic models with lag-independent variables, individual and time effects, time heteroscedasticity, non-normality, non-stationarity, fixed variables, non-linear and variant-over-time coefficients, and unbalanced data, by using restrictions on the parameters and the multi-sample technique (m.s.t.). Also, a novel formula for the duplication matrix is provided and a solution for a matrix equation is given.

Suggested Citation

  • Savas Papadopoulos, 2010. "Theory and methodology for dynamic panel data: tested by simulations based on financial data," International Journal of Computational Economics and Econometrics, Inderscience Enterprises Ltd, vol. 1(3/4), pages 239-253.
    • Handle: RePEc:ids:ijcome:v:1:y:2010:i:3/4:p:239-253
    as

    Download full text from publisher

    File URL: http://www.inderscience.com/link.php?id=37936
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Arellano, Manuel, 2003. "Panel Data Econometrics," OUP Catalogue, Oxford University Press, number 9780199245291.
    2. Hsiao, Cheng & Hashem Pesaran, M. & Kamil Tahmiscioglu, A., 2002. "Maximum likelihood estimation of fixed effects dynamic panel data models covering short time periods," Journal of Econometrics, Elsevier, vol. 109(1), pages 107-150, July.
    3. repec:bla:jfinan:v:43:y:1988:i:1:p:1-19 is not listed on IDEAS
    4. Etti G. Baranoff & Savas Papadopoulos & Thomas W. Sager, 2007. "Capital and Risk Revisited: A Structural Equation Model Approach for Life Insurers," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 74(3), pages 653-681, September.
    5. Magnus, J.R. & Neudecker, H., 1980. "The elimination matrix : Some lemmas and applications," Other publications TiSEM 0e3315d3-846c-4bc5-928e-f, Tilburg University, School of Economics and Management.
    6. Manuel Arellano & Stephen Bond, 1991. "Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 58(2), pages 277-297.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Anne Musson & Damien Rousselière, 2020. "Exploring the effect of crisis on cooperatives: a Bayesian performance analysis of French craftsmen cooperatives," Applied Economics, Taylor & Francis Journals, vol. 52(25), pages 2657-2678, May.
    2. Alvarez, Javier & Arellano, Manuel, 2022. "Robust likelihood estimation of dynamic panel data models," Journal of Econometrics, Elsevier, vol. 226(1), pages 21-61.
    3. León-González, Roberto & Montolio, Daniel, 2015. "Endogeneity and panel data in growth regressions: A Bayesian model averaging approach," Journal of Macroeconomics, Elsevier, vol. 46(C), pages 23-39.
    4. Geweke, J. & Joel Horowitz & Pesaran, M.H., 2006. "Econometrics: A Bird’s Eye View," Cambridge Working Papers in Economics 0655, Faculty of Economics, University of Cambridge.
    5. Maurice J.G. Bun & Sarafidis, V., 2013. "Dynamic Panel Data Models," UvA-Econometrics Working Papers 13-01, Universiteit van Amsterdam, Dept. of Econometrics.
    6. Zhang, Yonghui & Zhou, Qiankun, 2019. "Estimation for time-invariant effects in dynamic panel data models with application to income dynamics," Econometrics and Statistics, Elsevier, vol. 9(C), pages 62-77.
    7. Sebastian Kripfganz & Claudia Schwarz, 2019. "Estimation of linear dynamic panel data models with time‐invariant regressors," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(4), pages 526-546, June.
    8. Jacobs, J.P.A.M. & Ligthart, J.E. & Vrijburg, H., 2009. "Dynamic Panel Data Models Featuring Endogenous Interaction and Spatially Correlated Errors," Other publications TiSEM d473cc67-03f6-4389-9a9f-3, Tilburg University, School of Economics and Management.
    9. repec:spo:wpecon:info:hdl:2441/eu4vqp9ompqllr09ij4oge90i is not listed on IDEAS
    10. Robert F. Phillips, 2022. "Forward Orthogonal Deviations GMM and the Absence of Large Sample Bias," Papers 2212.14075, arXiv.org, revised Jul 2024.
    11. Yuriy Gorodnichenko, 2007. "Using Firm Optimization to Evaluate and Estimate Returns to Scale," NBER Working Papers 13666, National Bureau of Economic Research, Inc.
    12. Jan F. Kiviet, 2005. "Judging Contending Estimators by Simulation: Tournaments in Dynamic Panel Data Models," Tinbergen Institute Discussion Papers 05-112/4, Tinbergen Institute.
    13. Ryo Okui, 2017. "Misspecification in Dynamic Panel Data Models and Model-Free Inferences," The Japanese Economic Review, Japanese Economic Association, vol. 68(3), pages 283-304, September.
    14. Hujer Reinhard & Rodrigues Paulo J. M. & Wolf Katja, 2008. "Dynamic Panel Data Models with Spatial Correlation," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 228(5-6), pages 612-629, October.
    15. Cizek, P. & Jacobs, J.P.A.M. & Ligthart, J.E. & Vrijburg, H., 2011. "GMM Estimation of Fixed Effects Dynamic Panel Data Models with Spatial Lag and Spatial Errors (Replaced by CentER DP 2015-003)," Other publications TiSEM b80cf367-c435-4f20-8e4c-8, Tilburg University, School of Economics and Management.
    16. Suale Karimu, 2019. "Structural transformation, openness, and productivity growth in sub-Saharan Africa," WIDER Working Paper Series wp-2019-109, World Institute for Development Economic Research (UNU-WIDER).
    17. Kruiniger, Hugo, 2008. "Maximum likelihood estimation and inference methods for the covariance stationary panel AR(1)/unit root model," Journal of Econometrics, Elsevier, vol. 144(2), pages 447-464, June.
    18. Jan Kiviet & Milan Pleus & Rutger Poldermans, 2017. "Accuracy and Efficiency of Various GMM Inference Techniques in Dynamic Micro Panel Data Models," Econometrics, MDPI, vol. 5(1), pages 1-54, March.
    19. repec:hal:wpspec:info:hdl:2441/eu4vqp9ompqllr09ij4oge90i is not listed on IDEAS
    20. Hsiao, Cheng & Zhou, Qiankun, 2015. "Statistical inference for panel dynamic simultaneous equations models," Journal of Econometrics, Elsevier, vol. 189(2), pages 383-396.
    21. Geert Dhaene & Koen Jochmans, 2011. "An Adjusted profile likelihood for non-stationary panel data models with fixed effects," SciencePo Working papers Main hal-01073732, HAL.
    22. Fritsch, Markus, 2019. "On GMM estimation of linear dynamic panel data models," Passauer Diskussionspapiere, Betriebswirtschaftliche Reihe B-36-19, University of Passau, Faculty of Business and Economics.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ids:ijcome:v:1:y:2010:i:3/4:p:239-253. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sarah Parker (email available below). General contact details of provider: http://www.inderscience.com/browse/index.php?journalID=311 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.