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RE: st: dynamic panel estimation in the presence of unit roots


From   "Millimet, Daniel" <[email protected]>
To   <[email protected]>
Subject   RE: st: dynamic panel estimation in the presence of unit roots
Date   Fri, 10 Oct 2003 08:57:59 -0500

You may want to at least see the work by blundell and bond, I believe in
Econometric Reviews, around 2000-2002.  they show that the arellano-bond
estimator is biased when the coefficient on the lagged dependent var.
gets even reasonably close to 1 (anything above about 0.7).  They
propose an alternative estimator that is available in gauss.  I'm not
sure what happens to that revised estimator if in fact there is a unit
root.  I imagine it fails.

Dann

----------------------------------------------------------------
Daniel L. Millimet, Assistant Professor
Department of Economics
Box 0496
SMU
Dallas, TX 75275-0496
e-mail: [email protected]
phone: 214.768.3269
fax: 214.768.1821
web: http://faculty.smu.edu/millimet
----------------------------------------------------------------


> -----Original Message-----
> From: Dev Vencappa [mailto:[email protected]] 
> Sent: Friday, October 10, 2003 7:53 AM
> To: [email protected]
> Subject: Re: st: dynamic panel estimation in the presence of 
> unit roots
> 
> 
> Statalist, is there anybody who knows of relevant literature 
> on what are the consequences of estimating dynamic panels 
> when the variables have unit roots and what are the 
> consequences for that? (and any possible implementation in Stata)
> 
> Any suggestions please?
> 
> Dev
> 
> 
> Dev Vencappa
> School of Economics
> University of Nottingham
> University Park
> Nottingham
> NG7 2RD
> U.K.
> Tel : +44 (0)115 951 5608
> Fax: +44 (0) 115 951 4159
> 
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> 

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