Estimation of Nonlinear Dynamic Panel Data Models with Individual Effects

Yi Hu, Dongmei Guo, Ying Deng and Shouyang Wang

Mathematical Problems in Engineering, 2014, vol. 2014, 1-7

Abstract:

This paper suggests a generalized method of moments (GMM) based estimation for dynamic panel data models with individual specific fixed effects and threshold effects simultaneously. We extend Hansen’s (Hansen, 1999) original setup to models including endogenous regressors, specifically, lagged dependent variables. To address the problem of endogeneity of these nonlinear dynamic panel data models, we prove that the orthogonality conditions proposed by Arellano and Bond (1991) are valid. The threshold and slope parameters are estimated by GMM, and asymptotic distribution of the slope parameters is derived. Finite sample performance of the estimation is investigated through Monte Carlo simulations. It shows that the threshold and slope parameter can be estimated accurately and also the finite sample distribution of slope parameters is well approximated by the asymptotic distribution.

Date: 2014
References: Add references at CitEc
Citations:

Downloads: (external link)
http://downloads.hindawi.com/journals/MPE/2014/672610.pdf (application/pdf)
http://downloads.hindawi.com/journals/MPE/2014/672610.xml (text/xml)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlmpe:672610

DOI: 10.1155/2014/672610

Access Statistics for this article

More articles in Mathematical Problems in Engineering from Hindawi
Bibliographic data for series maintained by Mohamed Abdelhakeem ().