A comparison of dynamic panel data estimators: Monte Carlo evidence and an application to the investment function
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Frankfurt am Main
Dt. Bundesbank
2003
|
| Series: | Discussion paper / Economic Research Centre of the Deutsche Bundesbank
2003,5 |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | 33 S. |
| ISBN: | 3935821468 |
Staff View
MARC
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| 245 | 1 | 0 | |a A comparison of dynamic panel data estimators |b Monte Carlo evidence and an application to the investment function |c Andreas Behr |
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Record in the Search Index
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| adam_text | Contents
1. Introduction I
2. The problem of bias caused by lagged dependant variables 1
2.1. The idea of instrumentation 1
2.2. Generalized Methods of Moments (GMM) 4
3. Dynamic Panel Data Estimation 5
3.1. The bias of the fixed effects model 5
3.2. Some proposed dynamic panel data estimators 7
3.2.1. The Anderson Hsiao estimator 8
3.2.2. The Arellano Bond estimator 10
3.2.3. The Blundell Bond estimator 12
3.2.4. The direct bias correction 14
3.2.5. An alternative bias correction method 15
4. Monte Carlo study 16
4.1. The case of a strictly exogenous explanatory variable 17
4.2. The case of a predetermined endogenous explanatory variable 22
5. An empirical application of dynamic panel data estimation 24
5.1. Deutsche Bundesbank s Corporate Balance Sheet Statistics 24
5.2. Empirical results 24
6. Conclusion 27
References 28
List of Tables
Table 1: Simulation results, 7=10, #=100 , a] = 1, p = 0.5, t] = 0.5 18
Table 2: Simulation results, T=10, #=1000 , a2£ = 1, p = 0.5, rj = 0.5 20
Table 3: Simulation results, 7=10, #=1000 , a2e = 1, 1 = 1, /? = 0.5, J] = 0.5, 8 = 0.1 23
Table 4: Empirical results of the dynamic (^ investment function 25
Table 5: Empirical results for the regression of Q on lagged values 26
List of Figures
Fig. 1: Bias and Root Mean Square Error of p, N= 100 19
Fig. 2: Bias and Root Mean Square Error of /?, #=100 19
Fig. 3: Bias and Root Mean Square Error of p, #=1000 20
Fig. 4: Bias and Root Mean Square Error of /?, N= 1000 21
Fig. 5: Measures of variation, p, #=1000 21
Fig. 6: Measures of variation, /?, #=1000 22
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| illustrated | Not Illustrated |
| indexdate | 2024-07-09T19:14:05Z |
| institution | BVB |
| isbn | 3935821468 |
| language | English |
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| physical | 33 S. |
| publishDate | 2003 |
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| publisher | Dt. Bundesbank |
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| series2 | Discussion paper / Economic Research Centre of the Deutsche Bundesbank |
| spelling | Behr, Andreas 1967- Verfasser (DE-588)133124029 aut A comparison of dynamic panel data estimators Monte Carlo evidence and an application to the investment function Andreas Behr Frankfurt am Main Dt. Bundesbank 2003 33 S. txt rdacontent n rdamedia nc rdacarrier Discussion paper / Economic Research Centre of the Deutsche Bundesbank 2003,5 Bilanzstatistik (DE-588)4424646-8 gnd rswk-swf Monte-Carlo-Simulation (DE-588)4240945-7 gnd rswk-swf Investitionsfunktion (DE-588)4138341-2 gnd rswk-swf Monte-Carlo-Simulation (DE-588)4240945-7 s Bilanzstatistik (DE-588)4424646-8 s Investitionsfunktion (DE-588)4138341-2 s DE-604 Economic Research Centre of the Deutsche Bundesbank Discussion paper 2003,5 (DE-604)BV013545109 2003,5 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010328513&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Behr, Andreas 1967- A comparison of dynamic panel data estimators Monte Carlo evidence and an application to the investment function Bilanzstatistik (DE-588)4424646-8 gnd Monte-Carlo-Simulation (DE-588)4240945-7 gnd Investitionsfunktion (DE-588)4138341-2 gnd |
| subject_GND | (DE-588)4424646-8 (DE-588)4240945-7 (DE-588)4138341-2 |
| title | A comparison of dynamic panel data estimators Monte Carlo evidence and an application to the investment function |
| title_auth | A comparison of dynamic panel data estimators Monte Carlo evidence and an application to the investment function |
| title_exact_search | A comparison of dynamic panel data estimators Monte Carlo evidence and an application to the investment function |
| title_full | A comparison of dynamic panel data estimators Monte Carlo evidence and an application to the investment function Andreas Behr |
| title_fullStr | A comparison of dynamic panel data estimators Monte Carlo evidence and an application to the investment function Andreas Behr |
| title_full_unstemmed | A comparison of dynamic panel data estimators Monte Carlo evidence and an application to the investment function Andreas Behr |
| title_short | A comparison of dynamic panel data estimators |
| title_sort | a comparison of dynamic panel data estimators monte carlo evidence and an application to the investment function |
| title_sub | Monte Carlo evidence and an application to the investment function |
| topic | Bilanzstatistik (DE-588)4424646-8 gnd Monte-Carlo-Simulation (DE-588)4240945-7 gnd Investitionsfunktion (DE-588)4138341-2 gnd |
| topic_facet | Bilanzstatistik Monte-Carlo-Simulation Investitionsfunktion |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010328513&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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