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This paper focuses on the estimation and predictive performance of several estimators for the time-space dynamic panel data model with Spatial Moving Average Random Effects (SMA-RE) structure of the disturbances. A dynamic spatial Generalized Moments (GM) estimator is proposed which combines the...
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This paper considers transformations of nonlinear semiparametric mean functions that yield moment conditions for estimation. Such transformations are said to be information equivalent if they yield the same asymptotic efficiency bound. I derive a unified theory of algebraic equivalence for...
Persistent link: https://www.econbiz.de/10013556749
In this paper, we study the asymptotic distributions for least-squares (OLS), fully modified (FM), and dynamic OLS … (DOLS) estimators in cointegrated regression models in panel data. We show that the OLS, FM, and DOLS estimators are all … asymptotically normally distributed. However, the asymptotic distribution of the OLS estimator is shown to have a non-zero mean …
Persistent link: https://www.econbiz.de/10014149909
We consider a latent group panel structure as recently studied by Su, Shi, and Phillips (2016), where the number of groups is unknown and has to be determined empirically. We propose a testing procedure to determine the number of groups. Our test is a residual-based Lagrange multiplier-type...
Persistent link: https://www.econbiz.de/10011801632
The finite sample behaviour is analysed of particular least squares (LS) and method of moments (MM) estimators in panel data models with individual effects and both a lagged dependent variable regressor and another explanatory variable which may be affected by lagged feedbacks from the dependent...
Persistent link: https://www.econbiz.de/10014104029