Transcription of Dynamic Panel Data Models - Zentraler Informatikdienst
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Dynamic Panel Data Models - Zentraler Informatikdienst
MotivationModelAlgebraEmpirical exampleConcluding remarksDynamic Panel data ModelsPeter LindnerJune 23, 2010 Peter LindnerDynamic Panel data ModelsMotivationModelAlgebraEmpirical exampleConcluding remarksContents1 Motivation2 ModelBasic set-upProblemSolution3 Algebra4 Empirical example5 Concluding remarksLiteraturePeter LindnerDynamic Panel data ModelsMotivationModelAlgebraEmpirical exampleConcluding remarksMotivationMany economic issues are Dynamic by nature and use the paneldata structure to understand :Demand ( present demand depends on past demand) Dynamic wage equationEmployment modelsInvestment of firms; LindnerDynamic Panel data ModelsMotivationModelAlgebraEmpirical exampleConcluding remarksBasic set-upProblemSolutionOne way error component modelyit= yi,t 1+x it +uiti= 1, ..,N t= 1, ..,Twhereuit= i+ it iusual individual effects, when necessaryiid(0, 2 ) iusual error termiid(0, 2 )independent of each other and among themselvesPeter LindnerDynamic Panel data ModelsMotivationModelAlgebraEmpirical exampleConcluding remarksBasic set-upProblemSolutionOLSyitis correlated with i yi,t 1is also correlated with i= OLS is biased an inconsistent even if itare not seriallycorrelatedPeter LindnerDynamic Panel data ModelsMotivationModelAlgebraEmpirical exampleConcluding remarksBasic set-upProblemSolutionFixed effectsWithin transformation sweeps out i(yi,t 1 yi, 1), where yi, 1= Tt=2yi,t 1T 1is corr
Motivation Model Algebra Empirical example Concluding remarks Contents 1 Motivation 2 Model Basic set-up Problem Solution 3 Algebra 4 Empirical example 5 Concluding remarks Literature Peter Lindner Dynamic Panel Data Models
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