Estimation of time-varying coefficient dynamic panel data models

被引：1
|
作者：
Hayakawa, Kazuhiko [1 ]
Hou, Jie [1 ]
机构：
[1] Hiroshima Univ, Dept Econ, 1-2-1 Kagamiyama, Higashihiroshima, Hiroshima 7398525, Japan
来源：
COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 2019年 / 48卷 / 13期
关键词：
dynamic panel data model; GMM; ML; time-varying parameter;
D O I：
10.1080/03610926.2018.1476704
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
In this paper, we consider dynamic panel data models where the autoregressive parameter changes over time. We propose the GMM and ML estimators for this model. We conduct Monte Carlo simulation to compare the performance of these two estimators. The simulation results show that the ML estimator outperforms the GMM estimator.
引用
收藏
页码：3311 / 3324
页数：14
相关论文
共 50 条
  • [21] Estimation of panel data partially linear time-varying coefficient models with cross-sectional spatial autoregressive errors
    Zhao, Yan-Yong
    Ge, Ling-Ling
    Liu, Yuan
    STATISTICAL PAPERS, 2025, 66 (01)
  • [22] Variable selection, estimation and application of dynamic short panel data models with time-varying individual fixed effects
    Sun Y.
    Huang W.
    Xitong Gongcheng Lilun yu Shijian/System Engineering Theory and Practice, 2022, 42 (06): : 1423 - 1433
  • [23] NONPARAMETRIC TIME-VARYING PANEL DATA MODELS WITH HETEROGENEITY
    Liu, Fei
    ECONOMETRIC THEORY, 2023,
  • [24] SPECIFICATION TESTS FOR TIME-VARYING COEFFICIENT PANEL DATA MODELS (jun, pg 1, 2023)
    Atak, Alev
    Yang, Thomas Tao
    Zhang, Yonghui
    Zhou, Qiankun
    ECONOMETRIC THEORY, 2023,
  • [25] Estimation in partially linear time-varying coefficients panel data models with fixed effects
    Zhao, Jing
    Feng, Sanying
    Cheng, Weihu
    JOURNAL OF THE KOREAN STATISTICAL SOCIETY, 2017, 46 (02) : 267 - 284
  • [26] Estimation in partially linear time-varying coefficients panel data models with fixed effects
    Jing Zhao
    Sanying Feng
    Weihu Cheng
    Journal of the Korean Statistical Society, 2017, 46 : 267 - 284
  • [27] Bayesian Bandwidth Estimation in Nonparametric Time-Varying Coefficient Models
    Cheng, Tingting
    Gao, Jiti
    Zhang, Xibin
    JOURNAL OF BUSINESS & ECONOMIC STATISTICS, 2019, 37 (01) : 1 - 12
  • [28] A flexible time-varying coefficient rate model for panel count data
    Sun, Dayu
    Guo, Yuanyuan
    Li, Yang
    Sun, Jianguo
    Tu, Wanzhu
    LIFETIME DATA ANALYSIS, 2024, 30 (04) : 721 - 741
  • [29] Estimation of time-varying parameters in deterministic dynamic models
    Chen, Jianwei
    Wu, Hulin
    STATISTICA SINICA, 2008, 18 (03) : 987 - 1006
  • [30] Estimation and Inference for a Semiparametric Time-Varying Panel Data Model
    Liu, Fei
    JOURNAL OF BUSINESS & ECONOMIC STATISTICS, 2025,
12345