Detailed Information
Cited 0 time in 
Cited 0 time in 
Cited 0 time in
Metadata Downloads
The role of constant instruments in dynamic panel estimation
- Authors
- Han, Chirok; Kim, Hyoungjong
- Issue Date
- 9월-2014
- Publisher
- ELSEVIER SCIENCE SA
- Keywords
- Dynamic panel data; Constant term; Period dummies; Generalized method of moments; Instrumental variables; Weak instruments
- Citation
- ECONOMICS LETTERS, v.124, no.3, pp.500 - 503
- Indexed
- SSCI
SCOPUS
- Journal Title
- ECONOMICS LETTERS
- Volume
- 124
- Number
- 3
- Start Page
- 500
- End Page
- 503
- ISSN
- 0165-1765
- Abstract
- In the standard generalized method of moments estimation of dynamic panel data models, the constant term is usually omitted from instrument sets. As a result, adding a constant to the dependent variable affects the estimates for models without full period dummies. Omitting the constant term from instrument sets may also result in substantial bias and efficiency loss if the mean of the variable is large in magnitude. In this note, we provide analytical and numerical results and propose convenient solutions for practitioners. We suggest that full period dummies be included as extra exogenous instruments even for models without time effects on the right-hand side. (C) 2014 Elsevier B.V. All rights reserved.
- Files in This Item
- There are no files associated with this item.
Items in ScholarWorks are protected by copyright, with all rights reserved, unless otherwise indicated.