The difference, system and ‘Double-D’ GMM panel estimators in the presence of structural breaks
| Autor: | Rosen Azad Chowdhury, Bill Russell |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2018 |
| Předmět: |
Economics and Econometrics
Sociology and Political Science Series (mathematics) 05 social sciences Instrumental variable Monte Carlo method jel:C23 Estimator jel:C22 jel:C26 Dynamic panel estimators mean shifts/structural breaks Monte Carlo Simulation Moment (mathematics) 0502 economics and business Statistics Econometrics Economics Range (statistics) 050207 economics 050205 econometrics |
| Popis: | 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. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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