Workshop: Important Considerations in Working Panel Dynamic Model

Speaker: Professor HSIAO Cheng (University of Southern California)

Date: 16 April 2019 (TUE)

Time: 19:00-21:00

Venue: Room 205, Main Academic Building, Hong Kong Shue Yan University

“All interesting economic behavior is inherently dynamic, dynamic panel models are the only relevant models; what might superficially appear to be a static model only conceals underlying dynamics, since any state variables presumed to influence present behavior is likely to depend in some way on past behavior.” M. Nerlove (2002, p.46)

Three major issues arise in the analysis of linear dynamic panel data models:

  1. initial value distribution;
  2. controlling the impact of incidental parameters to obtain valid inference on structural parameters; and
  3. relative sample size between cross-sectional dimension N and time series dimension T

For nonlinear  dynamic models, these issues become even more difficult to handle.  The derivation of initial value distribution is much more difficult to handle (e.g.  binary outcomes model). Nor is there any linear transformation to remove the incidental parameters. The identification for the method of moments estimator becomes much harder to derive (e.g. Honore (1993)).

Resources:

Hsiao, C. (2014). Analysis of Panel Data (Econometric Society Monographs). Cambridge: Cambridge University Press. doi:10.1017/CBO9781139839327

Library of Congress Cataloging in Publication Data : https://assets.cambridge.org/052181/8559/sample/0521818559WS.pdf

Test (2007) 16: 1–22. DOI 10.1007/s11749-007-0046-x. INVITED PAPER. Panel data analysis—advantages and challenges. Cheng Hsiao.: https://pdfs.semanticscholar.org/843a/a44018e782840c07dc5f60d62a4ace740746.pdf

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