Estimation of Time-Varying Coefficient Dynamic Panel Data Models

10 Pages Posted: 10 May 2017

See all articles by Kazuhiko Hayakawa

Kazuhiko Hayakawa

Hiroshima University

Jie Hou

Hiroshima University

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

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

Kazuhiko Hayakawa (Contact Author)

Hiroshima University ( email )

Japan

Jie Hou

Hiroshima University ( email )

739-0046
Japan

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