dc.contributor.author | Kripfganz, S | |
dc.contributor.author | Schwarz, C | |
dc.date.accessioned | 2019-01-07T11:58:54Z | |
dc.date.issued | 2019-01-05 | |
dc.description.abstract | We present a sequential approach to estimating a dynamic Hausman‐Taylor model. We first estimate the coefficients of the time‐varying regressors and subsequently regress the first‐stage residuals on the time‐invariant regressors. In comparison to estimating all coefficients simultaneously, this two‐stage procedure is more robust against model misspecification, allows for a flexible choice of the first‐stage estimator, and enables simple testing of the overidentifying restrictions. For correct inference, we derive analytical standard error adjustments. We evaluate the finite‐sample properties with Monte Carlo simulations and apply the approach to a dynamic gravity equation for U.S. outward foreign direct investment. | en_GB |
dc.identifier.citation | Published online 5 January 2019 | en_GB |
dc.identifier.doi | 10.1002/jae.2681 | |
dc.identifier.uri | http://hdl.handle.net/10871/35368 | |
dc.language.iso | en | en_GB |
dc.publisher | Wiley | en_GB |
dc.rights.embargoreason | Under embargo until 5 January 2021 in compliance with publisher policy | |
dc.rights | © 2019 Wiley | en_GB |
dc.subject | dynamic gravity equation | en_GB |
dc.subject | dynamic Hausman-Taylor model | en_GB |
dc.subject | generalized method of moments | en_GB |
dc.subject | time-invariant variables | en_GB |
dc.subject | two-stage estimation | en_GB |
dc.subject | overidentifying restrictions | en_GB |
dc.title | Estimation of linear dynamic panel data models with time-invariant regressors | en_GB |
dc.type | Article | en_GB |
dc.date.available | 2019-01-07T11:58:54Z | |
dc.identifier.issn | 0883-7252 | |
dc.description | This is the author accepted manuscript. The final version is available from Wiley via the DOI in this record | en_GB |
dc.identifier.journal | Journal of Applied Econometrics | en_GB |
dc.rights.uri | http://www.rioxx.net/licenses/all-rights-reserved | en_GB |
dcterms.dateAccepted | 2018-11-08 | |
rioxxterms.version | AM | en_GB |
rioxxterms.licenseref.startdate | 2018-11-08 | |
rioxxterms.type | Journal Article/Review | en_GB |
refterms.dateFCD | 2019-01-06T09:53:26Z | |
refterms.versionFCD | AM | |
refterms.panel | C | en_GB |