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JIVE for Panel Dynamic Simultaneous Equations Models

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Abstract

We consider the method of moments estimation of a structural equation in a panel dynamic simultaneous equations model under different sample size combinations of cross-sectional dimension, N; and time series dimension, T. Two types of linear transformation to remove the individual-specific effects from the model, first difference and forward orthogonal demeaning, are considered. We show that the Alvarez and Arellano (2003) type GMM estimator under both transformations is consistent only if T/N goes to 0 as (N,T) goes to infinity. However, it is asymptotically biased if T cubed divided by N goes to kappa not equal to 0

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  • Cheng Hsiao & Qiankun Zhou, 2017. "JIVE for Panel Dynamic Simultaneous Equations Models," Departmental Working Papers 2017-10, Department of Economics, Louisiana State University.
    • Handle: RePEc:lsu:lsuwpp:2017-10
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    1. Arellano, Manuel & Bover, Olympia, 1995. "Another look at the instrumental variable estimation of error-components models," Journal of Econometrics, Elsevier, vol. 68(1), pages 29-51, July.
    2. Hsiao, Cheng & Zhou, Qiankun, 2015. "Statistical inference for panel dynamic simultaneous equations models," Journal of Econometrics, Elsevier, vol. 189(2), pages 383-396.
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    3. Shiyun Cao & Yonghui Zhang & Qiankun Zhou, 2021. "2SLS and IV Estimation of Dynamic Panel Models with Heterogeneous Trend," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(6), pages 1408-1431, December.
    4. Chao, John C. & Swanson, Norman R. & Woutersen, Tiemen, 2023. "Jackknife estimation of a cluster-sample IV regression model with many weak instruments," Journal of Econometrics, Elsevier, vol. 235(2), pages 1747-1769.
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