How informative is the initial condition in the dynamic panel model with fixed effects?
Article Abstract:
A study was conducted on the estimation of panel autoregression model, with fixed effects, in initial conditions using the semiparametric approach. Results showed that numerically comparing different parameters would give a substantial efficiency in the assumption of the initial conditions. The initial conditions in the panel model determines efficient gain in the estimation process. Inconsistent estimates would be derived when the assumption by initial condition is violated.
Publication Name: Journal of Econometrics
Subject: Economics
ISSN: 0304-4076
Year: 1999
User Contributions:
Comment about this article or add new information about this topic:
Weak exogeneity in I(2) VAR systems
Article Abstract:
A study was conducted on the properties of conditional model estimation of parameters that are exogenously weak in I(2) VAR systems using marginal model equations. Results showed that inconsistent estimation of variables was due to incorrect assumption of weak exogeneity conditions. Weak exogeneity conditions were due to errors in the marginal equations. Thus, analysis of conditional model prior to testing of weak exogenous parameters must be done.
Publication Name: Journal of Econometrics
Subject: Economics
ISSN: 0304-4076
Year: 1999
User Contributions:
Comment about this article or add new information about this topic:
- Abstracts: What do interest rates reveal about the functioning of real business cycle models? The term structure of interest rates in real and monetary economies
- Abstracts: John Elliot Cairnes and the 'rehabilitation' of the classical wage fund doctrine. Laws on long-term prices
- Abstracts: Change, consolidation, and competition in health care markets. Moral hazard and risk spreading in partnerships
- Abstracts: Cross holdings in Germany. Corporate finance and corporate control: an empirical research agenda. Monitoring and consulting by an imperfect supervisor
- Abstracts: A neglected controversy in the modelling of consumers' expenditure. Time deformation in UK consumers' expenditure