Estimation of Dynamic Panel Data Regression Parameters Using Generalized Methods of Moment

Authors

  • Nur Aminah Ahmad HASANUDDIN OF UNIVERSITY
  • Georgina M. Tinungki
  • Nurtiti Sunusi

DOI:

https://doi.org/10.20956/j.v18i3.20574

Keywords:

Panel Data Regression, Dynamic Panel Data Regression, Generalized Methods of Moment

Abstract

Panel data is a combination of cross section and time series. There are two panel data models, namely static and dynamic panel data. Because seeing the advantages of the dynamic panel data model which is able to overcome endogeneity problems related to the use of the dependent variable lag where in the static panel data model the use of the dependent variable lag causes the estimation results to be biased and inconsistent, so the author examines the dynamic panel data regression model. In the dynamic data model there is a lag of the dependent variable, this variable is correlated with error. Thus, estimation using OLS will result in a biased and inconsistent estimator. To overcome this, the dynamic panel data model can be estimated using the GMM Blundell-Bond approach. Based on the discussion, the parameter estimation formula for dynamic panel data regression using the Blundell-Bond GMM approach is as follows:    

Downloads

Download data is not yet available.

References

Anderson, T. W., & Hsiao, C., 1982. Formulation And Estimation of Dynamic Models Using Panel Data. Journal of Economic , 47-82.

Arrelano, M & Bond, S., 1991. Some Tests Of Specification For Panel Data: Monte Carlo Evidence and An Application to Employment Equations. Oxford Journals: The Review Of Economic Studies, 277-297.

Baltagi, B. H., 2005. Econometrics Analysis of Panel Data, 3rd ed. England: John Wiley & Sons, Ltd.

Blundell, R., & Bond, S., 1998. Initial Conditions and Momen Restrictions in Dynamic Panel Data Models. Journal of Econometrics, 115-143.

Hasriati, A., 2016. Pemodelan Konvergensi Inflasi Antar Wilayah di Indonesia dengan Pendekatan Spasial Dinamis Data Panel AB-GMM dan Sys-GMM. Tesis. Surabaya : Jurusan Statistika, ITS.

Jintan, A. R., Nahar, F. H., & Azizurrohman, M., 2020. Measuring Inflow of Remittances in Six ASEAN Countries Using Macroeconomic Variables: Panel Data Analysis. Journal of Economics Research and Social Sciences, 87-101.

Lalon, R. M., dan Morshada, F., 2020. Impact of Credit Risk Management on Profitability of Commercial Banks in Bangladesh: An Estimation of Dynamic Panel Data Model. International Journal of Finance & Banking Studies, 2147-4486

Nabilah, D., & Setiawan, 2016. Pemodelan Pertumbuhan Ekonomi Indonesia Menggunakan Data Panel Dinamis dengan Pendekatan Generalized Method of Moment. Jurnal Sains dan Seni ITS, 205-210.

Nafngiyana, U., Setiawan, & Rahayu, S. P., 2019. Generalized Method of Moment Application in Simultaneous Dynamic Panel Data Equations for Economic Growth, CO2 Emissions, and Health Expenditures Modelling. IOP Conference Series: Materials Science and Engineering.

Shina, A.F.I., 2018. Estimasi Parameter Pada Sistem Model Persamaan Simultan Data Panel Dinamis Dengan Metode 2 SLS GMM-AB. Semarang : Jurnal Media Statistika Universitas Diponegoro.

Downloads

Published

2022-05-15

How to Cite

Ahmad, N. A., Tinungki, G. M. ., & Sunusi, N. . (2022). Estimation of Dynamic Panel Data Regression Parameters Using Generalized Methods of Moment . Jurnal Matematika, Statistika Dan Komputasi, 18(3), 484-491. https://doi.org/10.20956/j.v18i3.20574

Issue

Section

Research Articles

Most read articles by the same author(s)

1 2 > >>