ECON 342 J. Marcelo Ochoa Spring, 2009 Problem 1. For T = 2 consider the standard panel data model: yit = xitβ + αi + ǫit a) Numerically compare the fixed effect and first difference estimates. b) Compare the error variance estimates from the two methods. Solution. The difference estimates are obtained by taking the difference across time periods to eliminate the unobservable. Hence, for indivi...

This paper studies the saving behavior of rural households in Vietnam from two aspects: volume of savings and methods of saving. Two econometric models are conducted, the first one is a panel data model, used to examine the determinants of household saving; and the second one is a multinomial logit model used to investigate how a household chooses the way to save. Both models are based on the l...

The presence of outlying observations in panel data can affect the classical estimates in a dramatic way. Nevertheless the common practice seems to disregard the problem. The aim of this work is to study robust regression techniques in the fixed effects linear panel data framework. Robustness of the procedures is investigated by means of breakdown point computations and simulation experiments. ...

In this chapter we study GMM estimation of linear panel data models. Several different types of models are considered, including the linear regression model with strictly or weakly exogenous regressors, the simultaneous regression model, and a dynamic linear model containing a lagged dependent variable as a regressor. In each case, different assumptions about the exogeneity of the explanatory v...

This paper establishes asymptotic properties of quasi-maximum likelihood estimators for …xed e¤ects SAR panel data models with SAR disturbances where the time periods T and/or the number of spatial units n can be …nite or large in all combinations except that both T and n are …nite. A direct approach is to estimate all the parameters including …xed e¤ects. We propose alternative estimation meth...

It is a critical question for environmental governance to examine whether the administrative award and punishment measures are effective in promoting environmental governance performance. Choosing the implementation of a mandatory target system (MTS) as the subject, this paper employs a fixed-effect panel data model and regression discontinuity design to test whether the MTS has improved the en...

This paper analyzes the delays and therefore the unpredictability of foreign aid in Africa. As many African countries are dependant to foreign aid, it’s important to understand to what extent aid delays matters for the absorptive capacity and therefore influences aid effectiveness. As the aid literature on absorptive capacity was mainly focused on dutch disease, decreasing returns and instituti...

This paper discusses likelihood-based estimation of panel data models with individualspecific effects and both lagged dependent variable regressors and additional predetermined explanatory variables. The resulting new estimator, labeled as sub-system LIML (ssLIML), is asymptotically equivalent to standard panel GMM as N →∞ for fixed T , but tends to present smaller biases in finite samples as i...

abstract in order to evaluation the effects of price policies (wheat guarantee price in each period and its price lag), environmental (planted area) and climatic (min and max average temperature, total annual precipitation, cold-day degree and hot-day degree) factors, we considered wheat yield in razavi-khorasan province (9 cities) for a 13-year statistical period (1371-72 to 1383-84). in this ...