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.
- Language
-
Englisch
- Bibliographic citation
-
Series: Memorandum ; No. 27/2012
Classification
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
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
Subject
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
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
Event
Geistige Schöpfung
(who)
Biørn, Erik
Han, Xuehui
Han, Xuehui
Event
Veröffentlichung
(who)
University of Oslo, Department of Economics
(where)
Oslo
(when)
2012
- Handle
- Last update
-
12.07.2024, 1:20 PM CEST
Object type
- Arbeitspapier
Associated
- Biørn, Erik
- Han, Xuehui
- University of Oslo, Department of Economics
Time of origin
- 2012
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