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首页> 外文期刊>The econometrics journal >Initial conditions of dynamic panel data models: on within and between equations
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Initial conditions of dynamic panel data models: on within and between equations

机译：动态面板数据模型的初始条件：方程式内部和之间

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This paper investigates the quasi-maximum likelihood estimation of short dynamic panel data models. We consider their estimation on both fixed effects and random effects specifications and propose a Hausman test when exogenous variables are present. For a dynamic panel model, initial conditions play important roles in model structure and estimation, and they give rise to a between equation under the random effects framework. With the between equation properly defined, we show that the random effects model can be decomposed into a within equation and a between equation; hence, the random effects estimate is a pooling of the within and between estimates. Thus, our paper extends the pooling in the static panel data model (Maddala, 1971a) to the setting of dynamic panel data. This decomposition of a dynamic panel data model is revealing and valuable for estimation and the formulation of a Hausman test to test the possible correlation of individual effects with included regressors. Monte Carlo experiments are conducted to investigate the finite sample performance of estimators and the Hausman test. An empirical application of growth convergence in OECD countries is provided.
机译：本文调查了短动态面板数据模型的准最大似然估计。我们考虑其对固定效应和随机效应规范的估计，并提出当存在外源变量时的Hausman测试。对于动态面板模型，初始条件在模型结构和估计中起重要作用，并且在随机效应框架下，它们会导致方程之间的等式。在正确定义的方程之间，我们表明随机效果模型可以分解成等式内的方程式和A之间的等式;因此，随机效应估计是估计内部和之间的汇集。因此，我们的论文将汇集在静态面板数据模型（Maddala，1971A）中扩展到动态面板数据的设置。这种动态面板数据模型的分解是对估计和豪曼测试的制定来揭示和有价值，以测试个体效应与包括回归的可能相关性。进行蒙特卡罗实验，以研究估算器和Hausman测试的有限样本性能。提供了经合组织国家增长趋同的实证应用。

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