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

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页码：3311 / 3324

页数：14

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