JIVE for Panel Dynamic Simultaneous Equations Models

Cheng Hsiao and Qiankun Zhou

Departmental Working Papers from Department of Economics, Louisiana State University

Abstract: We consider the method of moments estimation of a structural equation in a panel dynamic simultaneous equations model under different sample size combinations of cross-sectional dimension, N; and time series dimension, T. Two types of linear transformation to remove the individual-specific effects from the model, first difference and forward orthogonal demeaning, are considered. We show that the Alvarez and Arellano (2003) type GMM estimator under both transformations is consistent only if T/N goes to 0 as (N,T) goes to infinity. However, it is asymptotically biased if T cubed divided by N goes to kappa not equal to 0

Date: 2017-09
New Economics Papers: this item is included in nep-ecm
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Journal Article: JIVE FOR PANEL DYNAMIC SIMULTANEOUS EQUATIONS MODELS (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:lsu:lsuwpp:2017-10

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