On Distributed Lags in Dynamic Panel Data Models: Evidence from Market Shares

Felicitas Nowak-Lehmann, Dierk Herzer, Sebastian Vollmer and Inmaculada Martínez-Zarzoso
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Felicitas Nowak-Lehmann: Ibero-America Institute for Economic Research, University of Goettingen

No 06-05, Working Papers from Asociación Española de Economía y Finanzas Internacionales

Abstract: The objective of this paper is twofold: First, the applicability of a widely used dynamic model, the autoregressive distributed lag model (ARDL), is scrutinized in a panel data setting. Second, Chile´s development of market shares in the EU market in the period of 1988 to 2002 is then analyzed in this dynamic framework, testing for the impact of price competitiveness on market shares and searching for estimation methods that deal with the problem of intertemporal and cross-section correlation of the disturbances. To estimate the coefficients of the ARDL model, Feasible Generalized Least Squares (FGLS) is utilized within the Three Stage Least Squares (3SFGLS) and the system Generalized Method of Moments (system GMM) frameworks. A computation of errors is added to highlight the usceptibility of the model to problems related to the underlying model assumptions.

Keywords: dynamic panel data model, autoregressive distributed lag model; pooled 3Stage Feasible Generalized Least Squares estimation, panel GMM estimation, market shares (search for similar items in EconPapers)
JEL-codes: C23 F14 F17 (search for similar items in EconPapers)
Pages: 34 pages
Date: 2006-06
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Working Paper: On Distributed Lags in Dynamic Panel Data Models: Evidence from Market Shares
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