On the Effect of Nonstationary Initial Conditions in Dynamic Panel Data Models

• Material Type: 文書・図像類
• Title: On the Effect of Nonstationary Initial Conditions in Dynamic Panel Data Models
• Author/Editor: 早川, 和彦
• Author Heading: 早川, 和彦 ハヤカワ, カズヒコ
• Publication, Distribution, etc.: Institute of Economic Research, Hitotsubashi University
• Publication Date: 2008-03
• Publication Date (W3CDTF): 2008-03
• Contributor: 社会科学における統計分析拠点構築 = Research Unit for Statistical Analysis in Social Sciences
• Text Language Code: eng
• Subject Heading: Dynamic panel data models; many instruments; generalized method of moments estimator; nonstationary initial conditions; degree of heterogeneity
• Target Audience: 一般
• Note (General): This paper is a revised version of chapter three of my Ph.D dissertation submitted to Hitotsubashi University and previously circulated under the title "Efficient GMM Estimation of Dynamic Panel Data Models Where Large Heterogeneity May Be Present."; First Draft: January 2006; This version: March 2008; 21世紀COEプログラム = 21st-Century COE Program
• Format (IMT): application/pdf
• Source: fulltext; https://hermes-ir.lib.hit-u.ac.jp/hermes/ir/re/15716/D07-245.pdf
• Access Restrictions: インターネット公開
• Related Material (URI): URI; http://21coe.ier.hit-u.ac.jp/english/index.html
• Periodical Title: Hi-Stat Discussion paper series, No. 245
• Data Provider (Database): 国立情報学研究所 : 学術機関リポジトリデータベース（IRDB）（機関リポジトリ）; https://irdb.nii.ac.jp
• Original Data Provider (Database): 一橋大学 : HERMES-IR(一橋大学機関リポジトリ) : Research & Education Resources

• Summary, etc.: In this paper, we consider dynamic panel data models with possibly nonstationary initial conditions. We derive the asymptotic properties of the GMM es...