Some Estimation Methods for Dynamic Panel Data Models
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Some Estimation Methods for Dynamic Panel Data Models
2.2 Least Squares Estimation. 7. 2.3 Minimum Distance and Maximum Likelihood. Estimation. 9. 2.3.1 Anderson and Hsiao Study. 9. 2.3.2 Chamberlain Study.
Cairo University Institute of Statistical Studies and Research Department of Applied Statistics and Econometrics
Some Estimation Methods for Dynamic Panel Data Models
By Mohamed Reda Sobhi Abonazel Assistant Lecturer at Dept. of Applied Statistics and Econometrics
Supervised by Prof. Ahmed Hassen Youssef
Dr. Ahmed Amin El-sheikh
Professor of Applied Statistics Dept. of Applied Statistics and Econometrics
Assoc. Prof. of Applied Statistics Dept. of Applied Statistics and Econometrics
A Thesis Submitted to the Department of Applied Statistics and Econometrics In Partial Fulfillment of the Requirements for the Degree of Doctor of Philosophy in Statistics
2014
Table of Contents
List of Abbreviations
iv
Acknowledgments
vi
1.1 The Main Objective of Our Study
1 1
1.2 Summary of the Thesis
2
Chapter 1
Chapter 2
Introduction
Various Estimators for Dynamic Panel Data Models
4
2.1 Introduction to Dynamic Panel Data Models
5
2.2 Least Squares Estimation
7
2.3 Minimum Distance and Maximum Likelihood Estimation 2.3.1 Anderson and Hsiao Study
9
2.3.2
Chamberlain Study
2.4 Instrumental Variables Estimation
9 12 14
2.4.1
Use of the Lagged Levels as Instruments
15
2.4.2
Use of the Lagged Differences as Instruments
16
2.5 GMM Estimation
17
2.5.1
Arellano-Bond Estimator
17
2.5.2
Keane-Runkle Estimator
20
2.5.3
Arellano-Bover Estimator
20
2.5.4
Ahn-Schmidt Estimator
23
2.5.5
Blundell-Bond Estimator
25
2.5.6
Alvarez-Arellano Estimator
27
2.6 Recent Developments and Applications for DPD Models
-i-
29
Chapter 3
Bias-Correction Methods for LSDV and GMM Estimators
34
3.1 The Asymptotic Bias for LSDV Estimator
35
3.2 Bias-Corrected LSDV Estimators
37
3.2.1
Kiviet Estimator
37
3.2.2
Hansen Estimator
38
3.2.3
Bun-Carree Estimator
41
3.3 The Asymptotic Bias for GMM Estimators
46
3.3.1
The AR(1) Panel Model and GMM Estimators
47
3.3.2
Small Sample Bias Properties of GMM Estimators
53
3.4 Bias-Corrected GMM Estimators
Chapter 4
Improving the Efficiency of GMM Estimators
56 58
4.1 The Asymptotic Variance of GMM Estimator
59
4.2 The Optimal Weighting matrix for First-Difference GMM Estimator 4.3 The Optimal Weighting matrix for Level GMM Estimator 4.4 New Suboptimal Weighting Matrices for System GMM Estimator 4.5 Efficiency Comparisons for Level and System GMM Estimators 4.6 New Level and System GMM Estimators
60
Chapter 5
63 66 70 78
4.6.1 The Weighted level GMM Estimator
78
4.6.2 The Weighted System GMM Estimators
79
Monte Carlo Simulation
82
5.1 Design of the Simulation
82
5.2 The Simulation Results
84
5.2.1 The Results of level GMM Estimators
85
5.2.2 The Results of system GMM Estimators
87
-ii-
5.2.3 Performance Analysis of the Variance Ratio Estimator
5.4 Concluding Remarks
91 92
Appendix (A) Tables
94
Appendix (B) Figures
107
Appendix (C) Codes of Programs
111
References
117
Arabic Summary
-iii-
List of Abbreviations 2SLS
Two Stage Least Squares
AR(1)
First-Order Autoregressive
CVE
Covariance Estimator
DIF
First-Difference GMM
DIF1
One-Step DIF
DIF2
Two-Step DIF
DPD
Dynamic Panel Data
FE
Fixed Effects
GLS
Generalized Least Squares
GMM
Generalized Method of Moments
IV
Instrumental Variables
KI
Kantorovich Inequality
LEV
Level GMM
LEV1
One-Step LEV
LEV2
Two-Step LEV
LIML
Limited Information Maximum Likelihood
LS LSDV
Least Squares Least Squares Dummy Variables
-iv-
MD
Minimum Distance
ML
Maximum Likelihood
OLS
Ordinary Least Squares
QML
Quasi-Maximum Likelihood
RMSE
Root Mean Squared Error
SYS
System GMM
SYS1
One-Step SYS
SYS2
Two-Step SYS
WCJSYS1
One-Step Weighted (with CJ) SYS
WCJSYS2
Two-Step Weighted (with CJ) SYS
WCSYS1
One-Step Weighted (with C) SYS
WCSYS2
Two-Step Weighted (with C) SYS
WG
Within Group
WJSYS1
One-Step Weighted (with J) SYS
WJSYS2
Two-Step Weighted (with J) SYS
WLEV1
Optimal One-Step Weighted LEV
WLEV2
Optimal Two-Step Weighted LEV
-v-
Acknowledgments I’m greatly indebted to prof. Ahmed Hassen, professor of applied statistics, dept. of applied statistics and econometrics, Institute of Statistical Studies and Research, for his valuable and generous assistance. My sincere thanks are also dedicated to his for this constructive guidance and warm encouragement throughout the preparation of this thesis. Dr. Ahmed El-sheikh, associate professor of applied statistics, dept. of applied statistics and econometrics, Institute of Statistical Studies and Research, deserves my deepest gratitude and appreciation for his kind supervision, continuous help and active discussions during the preparation of this thesis. I would like to express my thanks to prof. Sayed Mesheal, professor of applied Statistics, dean of Institute of Statistical Studies and Research, for his continuous help and his generous acceptance of discussion of this thesis, and to prof. Amr Elatraby, professor of statistics, vice dean of faculty of commerce, Ain Shams University, for his generous acceptance of discussion of this thesis.
