Abstract Details
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Activity Number:
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540
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Type:
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Invited
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Date/Time:
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Wednesday, August 6, 2014 : 2:00 PM to 3:50 PM
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Sponsor:
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Business and Economic Statistics Section
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Abstract #310694
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Title:
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Dynamic Panel Data Models with Cross-Sectional Dependence, Sequential Exogeneity, and Time-Varying Individual Effects
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Author(s):
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Guido M. Kuersteiner and Ingmar R. Prucha*+ and David M. Drukker
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Companies:
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University of Maryland and University of Maryland and StataCorp
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Keywords:
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Dynamic panel data model ;
Cross sectional dependence ;
Spatial ;
Common factors ;
time-varying individual effects
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Abstract:
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In this paper we develop estimation theory for a dynamic panel data model with fixed effects under cross sectional dependence. Cross sectional dependence may stem from spatial interactions in the endogenous variables, exogenous variables, and/or disturbances. We note that the notion of space should be interpreted liberally, and is not confined to geographic space. Cross sectional dependence may also stem from common factor. Our analysis allows not only for strictly but also for sequentially exogenous regressors. We propose a generalized method of moments estimator, and derive its asymptotic distributions.
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Authors who are presenting talks have a * after their name.
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