Download This PaperEstimation of Time-Varying Coefficient Dynamic Panel Data Models
10 Pages Posted: 10 May 2017
Date Written: February 16, 2017
Abstract
In this paper, we consider dynamic panel data models where the autoregressive parameter changes over time. We propose the GMM and ML estimators for this model. We conduct Monte Carlo simulation to compare the performance of these two estimators. The simulation results show that the ML estimator outperforms the GMM estimator.
Suggested Citation: Suggested Citation
Hayakawa, Kazuhiko and Hou, Jie, Estimation of Time-Varying Coefficient Dynamic Panel Data Models (February 16, 2017). Available at SSRN: https://ssrn.com/abstract=2965282 or http://dx.doi.org/10.2139/ssrn.2965282
Do you have a job opening that you would like to promote on SSRN?
Feedback
Feedback to SSRN
If you need immediate assistance, call 877-SSRNHelp (877 777 6435) in the United States, or +1 212 448 2500 outside of the United States, 8:30AM to 6:00PM U.S. Eastern, Monday - Friday.