ESTIMATING A LINEAR SIMULTANEOUS EQUATION MODEL WITH PANEL DATA

Soo-Bin Park ()
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Soo-Bin Park: Department of Economics, Carleton University, Ottawa, Canada K1S 5B6, Canada

The Singapore Economic Review (SER), 2005, vol. 50, issue spec0, 475-494

Abstract: In this paper we consider a class of the GMM estimators for a linear simultaneous equation model with panel data. The model is characterized by the presence of unobserved individual effects as part of structural disturbances and by the correlation of certain time-varying and time-invariant exogenous variables with the individual effects. A class of single-equation and system GMM estimators is proposed on the basis of a class of instruments as a unifying theme. Small-sample performance of this class of estimators is also investigated by a series of sampling experiments.

Keywords: Panel data; simultaneous equations; fixed effects (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (2)

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DOI: 10.1142/S0217590805002165

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