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dc.contributor.authorKripfganz, S
dc.contributor.authorSchwarz, C
dc.date.accessioned2016-03-03T14:45:41Z
dc.date.issued2015
dc.description.abstractWe propose a two-stage estimation procedure to identify the effects of time-invariant regressors in a dynamic version of the Hausman-Taylor model. We first estimate the coeffi- cients of the time-varying regressors and subsequently regress the first-stage residuals on the time-invariant regressors providing analytical standard error adjustments for the second-stage coefficients. The two-stage approach is more robust against misspecification than GMM estimators that obtain all parameter estimates simultaneously. In addition, it allows exploiting advantages of estimators relying on transformations to eliminate the unit-specific heterogeneity. We analytically demonstrate under which conditions the one-stage and two-stage GMM estimators are equivalent. Monte Carlo results highlight the advantages of the two-stage approach in finite samples. Finally, the approach is illustrated with the estimation of a dynamic gravity equation for U.S. outward foreign direct investment.en_GB
dc.identifier.citationAugust 2015 / No. 1838en_GB
dc.identifier.urihttp://hdl.handle.net/10871/20423
dc.language.isoenen_GB
dc.publisherEuropean Central Banken_GB
dc.relation.urlhttps://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1838.en.pdfen_GB
dc.relation.urlhttp://papers.ssrn.com/sol3/papers.cfm?abstract_id=2650425en_GB
dc.relation.urlhttps://ideas.repec.org/p/zbw/bubdps/252013.htmlen_GB
dc.titleEstimation of linear dynamic panel data models with time-invariant regressors (working paper)en_GB
dc.typeWorking Paperen_GB
dc.date.available2015-08-07
dc.date.available2016-03-03T14:45:41Z
dc.descriptionThis is the final version of the article. This paper can be downloaded without charge from the European Central Bank, the Social Science Research Network electronic library or from RePEc: Research Papers in Economics via the links in this record.en_GB
dc.identifier.eissn1725-2806
dc.identifier.journalEuropean Central Bank Working Paper Seriesen_GB


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