Econometric Analysis of Panel Data PD9参考.ppt

Econometric Analysis of Panel Data Dynamic Panel Data Analysis First Difference Model Instrumental Variables Method Generalized Method of Moments Arellano-Bond-Bover Estimator Dynamic Panel Data Analysis The Model Dynamic Panel Data Analysis The Model Dynamic Panel Data Analysis Instrumental Variables Dynamic Panel Data Analysis Instrumental Variables Method Dynamic Panel Data Model Instrumental Variables Estimation HAC Variance-Covariance Matrix Dynamic Panel Data Model Arellano-Bond Estimator is based on Generalized Method of Moments (GMM) With a proper choice of a p.d.f. weighting matrix γ Arellano-Bond Estimator Example: Returns to Schooling Cornwell and Rupert Model (1988) Data (575 individuals over 7 years) Dependent Variable yit: LWAGE = log of wage Explanatory Variables xit: Time-Variant Variables x1it: EXP = work experience WKS = weeks worked ? endogenous OCC = occupation, 1 if blue collar, IND = 1 if manufacturing industrySOUTH = 1 if resides in southSMSA = 1 if resides in a city (SMSA)MS = 1 if married UNION = 1 if wage set by union contract Time-Invariant Variables x2i: ED = years of education ? endogenous FEM = 1 if femaleBLK = 1 if individual is black