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Estimating A Linear Simultaneous Equation Model With Panel Data

Author

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  • SOO-BIN PARK

    (Department of Economics, Carleton University, Ottawa, Canada K1S 5B6, Canada)

Abstract

In this paper we consider a class of the GMM estimators for a linear simultaneous equation model with panel data. The model is characterized by the presence of unobserved individual effects as part of structural disturbances and by the correlation of certain time-varying and time-invariant exogenous variables with the individual effects. A class of single-equation and system GMM estimators is proposed on the basis of a class of instruments as a unifying theme. Small-sample performance of this class of estimators is also investigated by a series of sampling experiments.

Suggested Citation

  • Soo-Bin Park, 2005. "Estimating A Linear Simultaneous Equation Model With Panel Data," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 50(spec0), pages 475-494.
    • Handle: RePEc:wsi:serxxx:v:50:y:2005:i:spec0:n:s0217590805002165
    DOI: 10.1142/S0217590805002165
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    References listed on IDEAS

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    1. N/A, 1989. "Chapter 1. the Home Economy," National Institute Economic Review, National Institute of Economic and Social Research, vol. 128(1), pages 5-19, May.
    2. N/A, 1989. "Chapter 1. the Home Economy," National Institute Economic Review, National Institute of Economic and Social Research, vol. 127(1), pages 7-25, February.
    3. N/A, 1989. "Chapter I. The Home Economy," National Institute Economic Review, National Institute of Economic and Social Research, vol. 129(1), pages 6-21, August.
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    Cited by:

    1. repec:zbw:rwirep:0084 is not listed on IDEAS
    2. Mitze, Timo & Alecke, Björn & Untiedt, Gerhard, 2009. "Trade-FDI Linkages in a System of Gravity Equations for German Regional Data," Ruhr Economic Papers 84, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    3. Timo Mitze & Björn Alecke & Gerhard Untiedt, 2009. "Trade-FDI Linkages in a System of Gravity Equations for German Regional Data," Ruhr Economic Papers 0084, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen.

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