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Efficient Estimation of Non-Linear Dynamic Panel Data Models with Application to Smooth Transition Models

Tue Gørgens (), Christopher Skeels and Allan Würtz
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Tue Gørgens: The Australian National University, Postal: SPEAR Centre, Research School of Social Sciences, The Australian National University, Canberra ACT 0200, Australia

CREATES Research Papers from Department of Economics and Business Economics, Aarhus University

Abstract: This paper explores estimation of a class of non-linear dynamic panel data models with additive unobserved individual-specific effects. The models are specified by moment restrictions. The class includes the panel data AR(p) model and panel smooth transition models. We derive an efficient set of moment restrictions for estimation and apply the results to estimation of panel smooth transition models with fixed effects, where the transition may be determined endogenously. The performance of the GMM estimator, both in terms of estimation precision and forecasting performance, is examined in a Monte Carlo experiment. We find that estimation of the parameters in the transition function can be problematic but that there may be significant benefits in terms of forecast performance.

Keywords: Dynamic panel data models; fixed effects; GMM estimation; smooth transition (search for similar items in EconPapers)
JEL-codes: C13 C23 (search for similar items in EconPapers)
Pages: 27
Date: 2009-10-01
New Economics Papers: this item is included in nep-ecm and nep-ets
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