Efficient Estimation of Non-Linear Dynamic Panel Data Models with Application to Smooth Transition Models
CREATES Research Paper 2009-51
29 Pages Posted: 2 Nov 2009
Date Written: October 2009
Abstract
This paper explores estimation of a class of non-linear dynamic panel data models with additive unobserved individual-specific effects. The models are specified by moment restrictions. The class includes the panel data AR(p) model and panel smooth transition models. We derive an efficient set of moment restrictions for estimation and apply the results to estimation of panel smooth transition models with fixed effects, where the transition may be determined endogenously. The performance of the GMM estimator, both in terms of estimation precision and forecasting performance, is examined in a Monte Carlo experiment. We find that estimation of the parameters in the transition function can be problematic but that there may be significant benefits in terms of forecast performance.
Keywords: dynamic panel data models, fixed effects, GMM estimation, smooth transition
JEL Classification: C13, C23
Suggested Citation: Suggested Citation
Do you have a job opening that you would like to promote on SSRN?
Recommended Papers
-
A Simple Panel Unit Root Test in the Presence of Cross Section Dependence
-
A Panic Attack on Unit Roots and Cointegration
By Jushan Bai and Serena Ng
-
Nonstationary Panels, Cointegration in Panels and Dynamic Panels: A Survey
By Badi H. Baltagi and Chihwa Kao
-
Dynamic Panel Estimation and Homogeneity Testing Under Cross Section Dependence
By Peter C. B. Phillips and Donggyu Sul
-
Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
-
Testing for a Unit Root in Panels with Dynamic Factors
By Hyungsik Roger Moon and Benoit Perron
-
Testing for a Unit Root in Panels with Dynamic Factors
By Hyungsik Roger Moon and Benoit Perron
-
General Diagnostic Tests for Cross Section Dependence in Panels