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: metrics
See also: panfix panrand panhaus

Quantlet: pandyn
Description: Estimaties dynamic panel data model with GMM

Reference(s):

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

Note:

Example:

z=read("dynpanel.dat")   ; read data set

{output,b}=pandyn(z,1,0) ; compute first step estimator

output                   ; print output

Result:



[ 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,] "====================================================="


Library: metrics
See also: panfix panrand panhaus

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

Author: Joerg Breitung (000524)
(C) MD*TECH Method and Data Technologies, 21.9.2000