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Dynamic Panel Data Model and Moment Generating Function

Author

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  • Yoshitsugu Kitazawa

    (Faculty of Economics, Kyushu Sangyo University)

Abstract

This paper proposes new sets of moment restrictions for consistently estimating the dynamic panel data model. These sets are derived from solving the moment generating functions of the error term for the dynamic panel data model and have the relevancy with some well-known sets of moment restrictions proposed up to this point in time. To investigate small sample properties for GMM estimators based on these sets, Monte Carlo experiments were conducted. The Monte Carlo experiments show that the GMM estimators based on some of these sets exhibit good small sample properties for some values of the so-called adjusting parameter.

Suggested Citation

  • Yoshitsugu Kitazawa, 2003. "Dynamic Panel Data Model and Moment Generating Function," Discussion Papers 13, Kyushu Sangyo University, Faculty of Economics.
    • Handle: RePEc:kyu:dpaper:13
    as

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    File URL: http://www.ip.kyusan-u.ac.jp/keizai-kiyo/dp13.pdf
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    References listed on IDEAS

    as
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    4. Kitazawa, Yoshitsugu, 2001. "Exponential regression of dynamic panel data models," Economics Letters, Elsevier, vol. 73(1), pages 7-13, October.
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    7. Blundell, Richard & Bond, Stephen, 1998. "Initial conditions and moment restrictions in dynamic panel data models," Journal of Econometrics, Elsevier, vol. 87(1), pages 115-143, August.
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Dynamic Panel Data Model; Generalized Method of Moments; Moment Generating Function; Monte Carlo Experiments; Small Sample Properties;
    All these keywords.

    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models

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