Arbeitspapier
Persistence, signal-noise pattern and heterogeneity in panel data: With an application to the impact of foreign direct investment on GDP
GMM estimation of autoregressive panel data equations in error-ridden variables when the noise has memory, is considered. The impact of variation in the memory length in signal and noise spread and in the degree of individual heterogeneity are discussed with respect to finite sample bias, using Monte Carlo simulations. Also explored are also the impact of the strength of autocorrelation and the size of the IV set. GMM procedures using IVs in differences on equations in levels, in general perform better in small samples than procedures using IVs in levels on equations in differences. A case-study of the impact of Foreign Direct Investment (FDI) on GDP, inter alia, contrasting the manufacturing and the service sector, based on country panel data supplements the simulation results.
- Sprache
-
Englisch
- Erschienen in
-
Series: Memorandum ; No. 4/2015
Klassifikation
Wirtschaft
Single Equation Models; Single Variables: Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions
Single Equation Models; Single Variables: Panel Data Models; Spatio-temporal Models
Multiple or Simultaneous Equation Models: Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
Multiple or Simultaneous Equation Models: Panel Data Models; Spatio-temporal Models
Macroeconomic Analyses of Economic Development
Industrialization; Manufacturing and Service Industries; Choice of Technology
Single Equation Models; Single Variables: Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions
Single Equation Models; Single Variables: Panel Data Models; Spatio-temporal Models
Multiple or Simultaneous Equation Models: Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
Multiple or Simultaneous Equation Models: Panel Data Models; Spatio-temporal Models
Macroeconomic Analyses of Economic Development
Industrialization; Manufacturing and Service Industries; Choice of Technology
Thema
Panel data
Measurement error
ARMA
GMM
Error memory
Monte Carlo
Foreign Direct Investment
Economic development
Country panel
Measurement error
ARMA
GMM
Error memory
Monte Carlo
Foreign Direct Investment
Economic development
Country panel
Ereignis
Geistige Schöpfung
(wer)
Biørn, Erik
Han, Xuehui
Han, Xuehui
Ereignis
Veröffentlichung
(wer)
University of Oslo, Department of Economics
(wo)
Oslo
(wann)
2015
- Handle
- Letzte Aktualisierung
-
12.07.2024, 13:21 MESZ
Objekttyp
- Arbeitspapier
Beteiligte
- Biørn, Erik
- Han, Xuehui
- University of Oslo, Department of Economics
Entstanden
- 2015
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