Semiparametric efficient estimation of dynamic panel data models |
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Authors: | Byeong U Park Robin C Sickles Léopold Simar |
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Institution: | 1. Department of Statistics, Seoul National University, Korea;2. Department of Economics, Rice University, USA;3. Institut de Statistique, Université, Catholique de Louvain, Belgium |
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Abstract: | This paper extends the semiparametric efficient treatment of panel data models pursued by Park and Simar Park, B.U., Simar, L., 1994. Efficient semiparametric estimation in stochastic frontier models. Journal of the American Statistical Association 89, 929–936] and Park et al. Park, B.U., Sickles, R.C., Simar, L., 1998. Stochastic frontiers: a semiparametric approach. Journal of Econometrics 84, 273–301; Park, B.U., Sickles, R.C., Simar, L., 2003. Semiparametric efficient estimation of AR(1) panel data models. Journal of Econometrics 117, 279–309] to a dynamic panel setting. We develop a semiparametric efficient estimator under minimal assumptions when the panel model contains a lagged dependent variable. We apply this new estimator to analyze the structure of demand between city pairs for selected U.S. airlines during the period 1979 I–1992 IV. |
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Keywords: | C13 C14 C23 D40 L93 |
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