Hostname: page-component-89b8bd64d-4ws75 Total loading time: 0 Render date: 2026-05-12T11:15:27.883Z Has data issue: false hasContentIssue false
  • English
  • Français

Multiplicative Panel Data Models Without the Strict Exogeneity Assumption

Published online by Cambridge University Press:  11 February 2009

Jeffrey M. Wooldridge
Jeffrey M. Wooldridge
Affiliation:
Michigan State University
Get access Rights & Permissions [Opens in a new window]

Abstract

This paper considers estimation of multiplicative, unobserved components panel data models without imposing a strict exogeneity assumption on the conditioning variables. The method of moments estimators proposed have significant robustness properties. They require only a conditional mean assumption and apply to models with lagged dependent variables and to finite distributed lag models with arbitrary feedback from the explained to future values of the explanatory variables. The model is particularly suited to nonnegative explained variables, including count variables, continuously distributed nonnegative outcomes, and even binary variables. The general model can also be applied to certain nonlinear Euler equations.

Information

Type
Articles
Information
Econometric Theory , Volume 13 , Issue 5 , October 1997 , pp. 667 - 678
Copyright
Copyright © Cambridge University Press 1997

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

Article purchase

Temporarily unavailable

References

REFERENCES

Ahn, S.C. & P. Schmidt (1995) Efficient estimation of models for dynamic panel data. Journal of Econometrics 68, 5–27.CrossRefGoogle Scholar
Anderson, T.W. & C. Hsiao (1982) Formulation and estimation of dynamic models using panel data. Journal of Econometrics 18, 67–82.CrossRefGoogle Scholar
Balestra, P. & M. Nerlove (1966) Pooling cross section and time series data in the estimation of a dynamic model: The demand for natural gas. Econometrica 34, 585–612.CrossRefGoogle Scholar
Chamberlain, G. (1982) The general equivalence of Granger and Sims causality. Econometrica 50, 569–581.CrossRefGoogle Scholar
Chamberlain, G. (1984) Panel data. In Griliches, Z. & Intriligator, M. (eds.), Handbook of Econometrics, vol. II, pp. 1247–1318. Amsterdam: North-Holland.Google Scholar
Chamberlain, G. (1992a) Comment: Sequential moment restrictions in panel data. Journal of Business and Economic Statistics 10, 20–26.CrossRefGoogle Scholar
Chamberlain, G. (1992b) Efficiency bounds for semiparametric regression. Econometrica 60, 567–596.CrossRefGoogle Scholar
Hansen, L.P. (1982) Large sample properties o f generalized method of moments estimators. Econometrica 50, 1029–1054.Google Scholar
Hausman, J.A., Hall, B.H., & Z. Griliches (1984) Econometric models for count data with an application to the patents-R&D relationship. Econometrica 52, 909–938.CrossRefGoogle Scholar
Holtz-Eakin, D., Newey, W.K., & Rosen, H.S. (1988) Estimating vector autoregressions with panel data. Econometrica 56, 1371–1395.CrossRefGoogle Scholar
Keane, M.P. & Runkle, D.E. (1992) On the estimation of panel-data models with serial correlation when instruments are not strictly exogenous. Journal of Business and Economic Statistics 10,1-9.Google Scholar
Morduch, J. (1990) Risk, Production, and Saving: Theory and Evidence from Indian Households. Mimeo, Harvard University, Department of Economics.Google Scholar
Rose, N.L. (1990) Profitability and product quality: Economic determinants of airline safety performance. Journal of Political Economy 98, 944–961.CrossRefGoogle Scholar
Shapiro, M.D. (1984) The permanent income hypothesis and the real interest rate: Some evidence from panel data. Economics Letters 14, 93–100.CrossRefGoogle Scholar
Wooldridge, J.M. (1991a) Distribution-Free Estimation of Some Nonlinear Panel Data Models. Mimeo, Michigan State University, Department of Economics.Google Scholar
Wooldridge, J.M. (1991b) Multiplicative Panel Data Models without the Strict Exogeneity Assumption. Working paper 574, MIT, Department of Economics.Google Scholar
Zeldes, S.P. (1989) Consumption and liquidity constraints: An empirical investigation. Journal of Political Economy 97, 305–346.CrossRefGoogle Scholar