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Econometric Analysis of Panel Data

Econometric Analysis of Panel Data. William Greene Department of Economics Stern School of Business. http://people.stern.nyu.edu/wgreene/CumulantInstruments-Racicot-AE(2014)_46(10).pdf. The NYU No Action Letter. GMM Estimation for One Equation. GMM for a System of Equations.

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Econometric Analysis of Panel Data

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  1. Econometric Analysis of Panel Data William Greene Department of Economics Stern School of Business

  2. http://people.stern.nyu.edu/wgreene/CumulantInstruments-Racicot-AE(2014)_46(10).pdfhttp://people.stern.nyu.edu/wgreene/CumulantInstruments-Racicot-AE(2014)_46(10).pdf

  3. The NYU No Action Letter

  4. GMM Estimation for One Equation

  5. GMM for a System of Equations

  6. SUR Model with Endogenous RHS Variables

  7. GMM for the System - Notation

  8. Instruments

  9. Moment Equations

  10. Estimation-1

  11. Estimation-2

  12. Estimation-3

  13. Estimation-4

  14. Estimation-5

  15. The Panel Data Case

  16. Hausman and Taylor FE/RE Model

  17. Useful Result: LSDV is an IV Estimator

  18. Hausman and Taylor

  19. H&T’s FGLS Estimator

  20. H&T’s FGLS Estimator (cont.)

  21. H&T’s 4 STEP IV Estimator

  22. Dynamic (Linear) PanelData (DPD) Models • Application • Bias in Conventional Estimation • Development of Consistent Estimators • Efficient GMM Estimators

  23. Dynamic Linear Model

  24. A General DPD model

  25. OLS and GLS are inconsistent

  26. LSDV is Inconsistent[(Steven) Nickell Bias]

  27. Anderson Hsiao IV Estimator

  28. Arellano and Bond Estimator - 1

  29. Arellano and Bond Estimator - 2

  30. Arellano and Bond Estimator - 3

  31. Instrumental Variables

  32. Simple IV Estimation

  33. Arellano/BondFirst Difference Formulation

  34. Arellano/Bond - GLS

  35. Arellano/Bond GLS Estimator

  36. GMM Estimator

  37. Arellano/Bond/Bover’s FormulationStart with H&T

  38. Arellano/Bond/Bover’s FormulationDynamic Model

  39. Arellano/Bond/Bover’s Formulation

  40. Arellano/Bond/Bover’s Formulation These blocks may contain all previous exogenous variables, or all exogenous variables for all periods. This may contain the all periods of data on x1 rather than just the group mean. (Amemiya and MaCurdy).

  41. Arellano/Bond/Bover’s Formulation For unbalanced panels the number of columns for Zi varies. Given the form of Zi, the number of columns depends on Ti. We need all Zi to have the same number of columns. For matrices with less columns than the largest one, extra columns of zeros are added.

  42. Arellano/Bond/Bover’s Formulation

  43. Arellano/Bond/Bover Estimator

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