Panel estimation of state dependent adjustment when the target is unobserved

Ulf von Kalckreuth

No 2008,09, Discussion Paper Series 1: Economic Studies from Deutsche Bundesbank

Abstract: Understanding adjustment processes has become central in economics. Empirical analysis is fraught with the problem that the target is usually unobserved. This paper develops, simulates and applies GMM methods for estimating dynamic adjustment models in a panel data context with partially unobserved targets and endogenous, time-varying persistence. In this setup, the standard first difference GMM procedure fails. I propose three estimation strategies. One is based on quasi-differencing, and it leads to two different, but related sets of moment conditions. The second is characterised by a statedependent filter, while the third is an adaptation of the GMM level estimator.

Keywords: Dynamic panel data models; economic adjustment (search for similar items in EconPapers)
JEL-codes: C15 C23 D21 (search for similar items in EconPapers)
Date: 2008
New Economics Papers: this item is included in nep-ecm
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Related works:
Journal Article: Panel estimation of state-dependent adjustment when the target is unobserved (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:bubdp1:7337

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