Journal article 1509 views 208 downloads
The difference, system and ‘Double-D’ GMM panel estimators in the presence of structural breaks
Rosen Chowdhury 
,
Bill Russell
,
Bill Russell
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...
| Published in: | Scottish Journal of Political Economy |
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| ISSN: | 00369292 |
| Published: |
2018
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| Online Access: |
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| 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. |
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| Keywords: |
Dynamic panel estimators, mean shifts/structural breaks, bank lending channel |
| College: |
Faculty of Humanities and Social Sciences |
| Issue: |
3 |
| Start Page: |
271 |
| End Page: |
292 |