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dc.contributor.author
Montes Rojas, Gabriel Victorio  
dc.contributor.author
Sosa Escudero, Walter  
dc.contributor.author
Zincenko, Federico  
dc.date.available
2021-01-21T12:34:11Z  
dc.date.issued
2011-06-01  
dc.identifier.citation
Montes Rojas, Gabriel Victorio; Sosa Escudero, Walter; Zincenko, Federico; Level-based estimation of dynamic panel models; De Gruyter; Journal of Econometric Methods; 9; 1; 1-6-2011; 1-40  
dc.identifier.issn
2194-6345  
dc.identifier.uri
http://hdl.handle.net/11336/123269  
dc.description.abstract
This paper develops an alternative estimator for linear dynamic panel data models based on parameterizing the covariances between covariates and unobserved time-invariant effects. A GMM framework is used to derive an optimal estimator based on moment conditions in levels, with no efficiency loss compared to the classic alternatives like Arellano and Bond (1991) and Ahn and Schmidt (1995, 1997). Still, we show analytically and by Monte Carlo simulations that the new procedure leads to efficiency improvements for certain data generating processes. The framework also leads to a very simple test for unobserved effects.  
dc.format
application/pdf  
dc.language.iso
eng  
dc.publisher
De Gruyter  
dc.rights
info:eu-repo/semantics/openAccess  
dc.rights.uri
https://creativecommons.org/licenses/by-nc-sa/2.5/ar/  
dc.subject
ASYMPTOTIC EFFICIENCY  
dc.subject
DYNAMIC PANEL  
dc.subject
GMM ESTIMATION  
dc.subject
INDIVIDUAL EFFECTS  
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SHORT PANEL  
dc.subject.classification
Economía, Econometría  
dc.subject.classification
Economía y Negocios  
dc.subject.classification
CIENCIAS SOCIALES  
dc.title
Level-based estimation of dynamic panel models  
dc.type
info:eu-repo/semantics/article  
dc.type
info:ar-repo/semantics/artículo  
dc.type
info:eu-repo/semantics/publishedVersion  
dc.date.updated
2021-01-13T18:55:57Z  
dc.identifier.eissn
2156-6674  
dc.journal.volume
9  
dc.journal.number
1  
dc.journal.pagination
1-40  
dc.journal.pais
Alemania  
dc.description.fil
Fil: Montes Rojas, Gabriel Victorio. Consejo Nacional de Investigaciones Científicas y Técnicas. Oficina de Coordinación Administrativa Saavedra 15. Instituto Interdisciplinario de Economía Política de Buenos Aires. Universidad de Buenos Aires. Facultad de Ciencias Económicas. Instituto Interdisciplinario de Economía Política de Buenos Aires; Argentina  
dc.description.fil
Fil: Sosa Escudero, Walter. Universidad de San Andrés; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina  
dc.description.fil
Fil: Zincenko, Federico. University of Pittsburgh; Estados Unidos  
dc.journal.title
Journal of Econometric Methods  
dc.relation.alternativeid
info:eu-repo/semantics/altIdentifier/doi/https://doi.org/10.1515/jem-2018-0015  
dc.relation.alternativeid
info:eu-repo/semantics/altIdentifier/url/https://www.degruyter.com/view/journals/jem/9/1/article-20180015.xml  

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