PanelDataNotes-9

PanelDataNotes-9 - Econometric Analysis of Panel Data...

Info iconThis preview shows pages 1–9. Sign up to view the full content.

View Full Document Right Arrow Icon

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full DocumentRight Arrow Icon

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full DocumentRight Arrow Icon

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full DocumentRight Arrow Icon

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full DocumentRight Arrow Icon
This is the end of the preview. Sign up to access the rest of the document.

Unformatted text preview: Econometric Analysis of Panel Data William Greene Department of Economics Stern School of Business Econometric Analysis of Panel Data 9. GMM Estimation and Dynamic Models GMM Estimation for One Equation N N i 1 i i i 1 i i N 2 N 2 i 1 i i 1 i 2 i N i 1 i i 1 1 ( )= (y ) N N 1 1 1 Asy.Var[ ( )] , estimated with e N N N based on 2SLS residuals e . The GMM estimator then minimizes 1 q (y ) N = = = = = - = = = - i i i i i i g z x z g z z z z z x 1 N 2 N i 1 i i 1 i i 1 1 1 e (y ) . N N N- = = - i i i ' z z z x GMM for a System of Equations h h w w Simultaneous equations Labor supply hours = f(wage, ) = wage = f(hours, ) = Product market equilibrium Quantity demanded = f(Price,...) Price = f(market demand, + + + + h h h w w w g x g x 1 1 2 2 M M ...) General format: y = y = ... y = + + + 1 1 2 2 M M x x x SUR Model with Endogenous RHS Variables 1 1 1 2 2 M G g g g SUR System y = , E[ | , ,... ] y = ,... ... y = ,... Each equation has a set of L K instruments, Each equation can be fit by 2SLS, IV, GMM, as before. + + + 1 1 1 2 G 2 2 G G x x x x x x z GMM for the System - Notation = = i1 i1 i2 i2 i iG Index: i = 1,...,N for individuals g = 1,...,G for equations (this would be t=1,...T for a panel) Data matrices: G rows, y y , ... ... y i x ... x ... y X ... ... ... ... = iG 1 2 G i , , K K ... K columns 1 i1 2 i2 i G iG i i = = ... ... x y X + Instruments 1 i1 i2 i iG 1 2 G i1,1 i1 i1,2 i1 i1 i1 1 i1,L i1 , G rows ... L L ... L columns Such that z z E E for L instru ... ... z = = = z ... z ... Z ... ... ... ... x z i2 i2 mental variables Same for , ... z Instruments i1 1 i2 2 iG G i1 i2 L rows L rows E[ ] E , for observation i ... ......
View Full Document

This note was uploaded on 01/05/2012 for the course B 55.9912 taught by Professor Willamgreene during the Fall '11 term at NYU.

Page1 / 52

PanelDataNotes-9 - Econometric Analysis of Panel Data...

This preview shows document pages 1 - 9. Sign up to view the full document.

View Full Document Right Arrow Icon
Ask a homework question - tutors are online