Transcription of Chapter 2. Dynamic panel data models - univ …
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Chapter 2. Dynamic panel data models - univ …
Chapter 2. Dynamic panel data modelsSchool of Economics and Management - University of GenevaChristophe Hurlin, Universit of Orl ansUniversity of Orl ansApril 2018C. Hurlin (University of Orl ans)Advanced Econometrics IIApril 20181 / 2091. IntroductionDe nition ( Dynamic panel data model)We now consider a Dynamic panel data model, in the sense that it contains(at least) one lagged dependent variables. For simplicity, let us consideryit= yi,t 1+ 0xit+ i+ itfori=1,..,nandt=1,..,T. iand tare the (unobserved) individualand time-speci c e ects, and itthe error (idiosyncratic) term withE( it)=0, and E( it js)= 2 ifj=iandt=s,and E( it js)= Hurlin (University of Orl ans)Advanced Econometrics IIApril 20182 / 2091.
1. Introduction Dynamic panel issues 1 If lagged dependent variables appear as explanatory variables, strict exogeneity of the regressors no longer holds. The LSDV is no longer consistent when n tends to in–nity and T is –xed.
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