Arbeitspapier
Panel data dynamics and measurement errors: GMM bias, IV validity and model fit - a Monte Carlo study
An autoregressive fixed effects panel data equation in error-ridden endogenous and exogenous variables, with finite memory of disturbances, latent regressors and measurement errors is considered. Finite sample properties of GMM estimators are explored by Monte Carlo (MC) simulations. Two kinds of estimators are compared with respect to bias, instrument (IV) validity and model fit: equation in differences/IVs levels, equation in levels/IVs in differences. We discuss the impact on estimators' bias and other properties of their distributions of changes in the signal-noise variance ratio, the length of the signal and noise memory, the strength of autocorrelation, the size of the IV set, and the panel length. Finally, some practical guidelines are provided.
- Sprache
-
Englisch
- Erschienen in
-
Series: Memorandum ; No. 27/2012
- 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
- Thema
-
Panel data
Measurement error
ARMA model
GMM
Signal-noise ratio
Error memory
IV validity
Monte Carlo simulation
Finite sample bias
Panelforschung
ARMA-Modell
Momentenmethode
Statistischer Fehler
Schätztheorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Biørn, Erik
Han, Xuehui
- Ereignis
-
Veröffentlichung
- (wer)
-
University of Oslo, Department of Economics
- (wo)
-
Oslo
- (wann)
-
2012
- Handle
- Letzte Aktualisierung
-
20.09.2024, 08:25 MESZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Biørn, Erik
- Han, Xuehui
- University of Oslo, Department of Economics
Entstanden
- 2012
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