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The difference, system and ‘Double-D’ GMM panel estimators in the presence of structural breaks / Rosen, Chowdhury

Scottish Journal of Political Economy, Volume: 65, Issue: 3, Pages: 271 - 292

Swansea University Author: Rosen, Chowdhury

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DOI (Published version): 10.1111/sjpe.12142

Abstract

The effects of structural breaks in dynamic panels are more complicated than in time series models as the bias can be either negative or positive. This paper focuses on the effects of mean shifts in otherwise stationary processes within an instrumental variable panel estimation framework. We show th...

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Published in: Scottish Journal of Political Economy
ISSN: 00369292
Published: 2018
Online Access: Check full text

URI: https://cronfa.swan.ac.uk/Record/cronfa35145
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Abstract: The effects of structural breaks in dynamic panels are more complicated than in time series models as the bias can be either negative or positive. This paper focuses on the effects of mean shifts in otherwise stationary processes within an instrumental variable panel estimation framework. We show the sources of the bias and a Monte Carlo analysis calibrated on United States bank lending data demonstrates the size of the bias for a range auto-regressive parameters. We also propose additional moment conditions that can be used to reduce the biases caused by shifts in the mean of the data.
Keywords: Dynamic panel estimators, mean shifts/structural breaks, bank lending channel
College: School of Management
Issue: 3
Start Page: 271
End Page: 292