Efficiency in Large Dynamic Panel Models with Common Factor

Patrick Gagliardini () and Christian Gourieroux

No 09-12, Swiss Finance Institute Research Paper Series from Swiss Finance Institute

Abstract: This paper deals with efficient estimation in exchangeable nonlinear dynamic panel models with common unobservable factor. The specification accounts for both micro- and macro-dynamics, induced by the lagged individual observation and the common stochastic factor, respectively. For large cross-sectional and time dimensions, and under a semiparametric identification condition, we derive the efficiency bound and introduce efficient estimators for both the micro- and macro-parameters. In particular, we show that the fixed effects estimator of the micro-parameter is not only consistent, but also asymptotically efficient. The results are illustrated with the stochastic migration model for credit risk analysis.

Keywords: Nonlinear Panel Model; Factor Model; Exchangeability; Systematic Risk; Efficiency Bound; Semi-parametric Efficiency; Fixed Effects Estimator; Bayesian Statistics; Stochastic Migration; Granularity (search for similar items in EconPapers)
JEL-codes: C13 C23 G12 (search for similar items in EconPapers)
Pages: 67 pages
Date: 2009-03
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (4)

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http://ssrn.com/abstract=1392725 (application/pdf)

Related works:
Journal Article: EFFICIENCY IN LARGE DYNAMIC PANEL MODELS WITH COMMON FACTORS (2014)
Working Paper: Efficiency in Large Dynamic Panel Models with Common Factor (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:chf:rpseri:rp0912

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