Instrumental variable estimation of semiparametric dynamic panel data models: Monte Carlo results on several new and existing estimators
Nonstationary Panels, Panel Cointegration, and Dynamic Panels
ISBN: 978-0-76230-688-6, eISBN: 978-1-84950-065-4
Publication date: 13 February 2001
Abstract
We consider the problem of instrumental variable estimation of semipara-metric dynamic panel data models. We propose several new semiparametric instrumental variable estimators for estimating a dynamic panel data model. Monte Carlo experiments show that the new estimators perform much better than the estimators suggested by Li & Stengos (1996) and Li & Ullah (1998).
Citation
Berg, M.D., Li, Q. and Ullah, A. (2001), "Instrumental variable estimation of semiparametric dynamic panel data models: Monte Carlo results on several new and existing estimators", Baltagi, B.H., Fomby, T.B. and Carter Hill, R. (Ed.) Nonstationary Panels, Panel Cointegration, and Dynamic Panels (Advances in Econometrics, Vol. 15), Emerald Group Publishing Limited, Leeds, pp. 297-315. https://doi.org/10.1016/S0731-9053(00)15011-X
Publisher
:Emerald Group Publishing Limited
Copyright © 2000, Emerald Group Publishing Limited