The Difference, System and ‘Double-D’ GMM Panel Estimators in the Presence of Structural Breaks

Rosen Azad Chowdhury and Bill Russell ()

No 268, Dundee Discussion Papers in Economics from Economic Studies, University of Dundee

Abstract: The effects of structural breaks in dynamic panels are more complicated than in time series models as the bias can be either negative or positive. This paper focuses on the effects of mean shifts in otherwise stationary processes within an instrumental variable panel estimation framework. We show the sources of the bias and a Monte Carlo analysis calibrated on United States bank lending data demonstrates the size of the bias for a range of auto-regressive parameters. We also propose additional moment conditions that can be used to reduce the biases caused by shifts in the mean of the data.

Keywords: Dynamic panel estimators; mean shifts/structural breaks; Monte Carlo Simulation (search for similar items in EconPapers)
JEL-codes: C22 C23 C26 (search for similar items in EconPapers)
Pages: 25 pages
Date: 2012-06
New Economics Papers: this item is included in nep-ecm and nep-ets
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Related works:
Journal Article: The difference, system and ‘Double‐D’ GMM panel estimators in the presence of structural breaks (2018)
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