Theory and methodology for dynamic panel data: tested by simulations based on financial data. (6th January 2011)

• Record Type: Journal Article
• Authors: Papadopoulos, Savas
• Is Part Of: International journal of computational economics and econometrics. Volume 1:Number 3/4(2010)
• Page Start: 239
• Page End: 253
• Publication Date: 2011-01-06
• Subjects: longitudinal data -- repeated measures -- duplication matrix -- maximum likelihood estimator -- MLE -- generalised method of moments -- GMM -- MD estimators -- dynamic panel data -- simulation -- financial data -- dynamic modelling; Econometrics -- Periodicals; Economics -- Data processing -- Periodicals; 330.01519505
• Languages: English
• ISSNs: 1757-1170

Abstract

A new method is introduced for panel-data models. Asymptotic robustness is used for a multivariate model with latent variables for a family of estimators. It is shown numerically that in comparison to standard methods we obtain: 1) better predictions in out-of-sample occasions; 2) smaller asymptotic standard errors (a.s.e.s); 3) more accurate a.s.e.s; 4) very small bias. Our methodology handles dynamic models with lag-independent variables, individual and time effects, time heteroscedasticity, non-normality, non-stationarity, fixed variables, non-linear and variant-over-time coefficients, and unbalanced data, by using restrictions on the parameters and the multi-sample technique (m.s.t.). Also, a novel formula for the duplication matrix is provided and a solution for a matrix equation is given.