XploRe Help : pandyn

Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Library:	panel
See also:	panfix panrand panhaus

Quantlet:		pandyn
Description:		estimates dynamic panel data models with GMM

Reference(s):

Arellano, M. and Bond, S. (1991). Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations. The Review of Economic Studies 58, pp. 277-297.

Usage:	`{output, bgmm}=pandyn(z,p,IVmeth{,T})`
Input:
	`z`	NT x {2+}1+k data matrix
	`p`	scalar, autoregressive order for dependent variable
	`IVmeth`	scalar, indicator for the Instruments; setting IV-meth = 0 lets the program choose the IV-method
	`T`	scalar, common time periods for balanced panel (optional)
Output:
	`output`	string, output table
	`bgmm`	(k+p) x 1 vector of coefficient estimates

Note:

See Arellano and Bond (1991) for the description of the method.

Example:

library("panel") z=read("dynpanel.dat") ; read data set {output,bgmm}=pandyn(z,1,0) ; compute first step estimator output ; print output

Result:

Contents of output
[ 1,] "====================================================="
[ 2,] "GMM-Estimation of the Dynamic Fixed-Effect Model:    "
[ 3,] "y(i,t) = y(i,t-1)'gamma + x(i,t)'beta + a(i) + e(i,t)"
[ 4,] "====================================================="
[ 5,] "PARAMETERS        Estimate        SE          t-value"
[ 6,] "====================================================="
[ 7,] "beta[ 1 ]=          0.9591       0.0704        13.625"
[ 8,] "beta[ 2 ]=         -1.0949       0.0771       -14.203"
[ 9,] "Lag [ 1 ]=          0.7643       0.0490        15.609"
[10,] "====================================================="
[11,] "N*T=    375      N=   25      DF=    12              "
[12,] "R-square (differenced model):    0.5955              "
[13,] "Hansen's J-statistic (p-val):   18.4000 (0.1041)     "
[14,] "Instruments according to method: 2                   "
[15,] "====================================================="

Author: J. Breitung, 20011012 license MD*Tech