- Statistical Inference for Panel Dnamic Simultaneous Equations Models
- Cheng Hsiao, Qiankun Zhou
- Journal of Econometrics 189 (2015) 383–396
- 2276 20160221 () Views:24539
- We study the identification and estimation of panel dynamic simultaneous equations models. We
show that the presence of time-persistent individual-specific effects does not lead to changes in the
identification conditions of traditional Cowles Commission dynamic simultaneous equations models.
However, the limiting properties of the estimators depend on the way the cross-section dimension, N,
or the time series dimension, T , goes to infinity. We propose three limited information estimator: panel
simple instrumental variables (PIV), panel generalized two stage least squares (PG2SLS), and panel limited
information maximum likelihood estimation (PLIML). We show that they are all asymptotically unbiased
independent of the way of how N or T tends to infinity. Monte Carlo studies are conducted to compare
the performance of the PLIML, PIV, PG2SLS, the Arellano–Bond type generalized method of moments and
the Akashi–Kunitomo least variance ratio estimator. We demonstrate that the reliability of statistical
inference depends critically on whether an estimator is asymptotically unbiased or not.
- JEL-Codes: C01 C30 C32
- Keywords: Panel dynamic simultaneous equations Maximum likelihood Instrumental variable Generalized method of moments Multi-dimensional asymptotics
Download full text Downloads:23868