NLIV: Nonlinear Instrumental Variables Estimator - T-Version...

In pdynmc: Moment Condition Based Estimation of Linear Dynamic Panel Data Models

Nonlinear Instrumental Variables Estimator - T-Version (NLIV).

Description

NLIV Computes closed form solution for lag parameter of linear dynamic panel data model based on instrumental variables (IV) estimator employing nonlinear moment conditions.

Usage

NLIV(dat, varname.i, varname.t, varname.y)

Arguments

dat	A dataset.
varname.i	The name of the cross-section identifier.
varname.t	The name of the time-series identifier.
varname.y	A character string denoting the name of the dependent variable in the dataset.

Details

The function estimates a linear dynamic panel data model of the form

y_{i,t} = y_{i,t-1} \rho_1 + a_i + \varepsilon_{i,t}

where y_{i,t-1} is the lagged dependent variable, \rho_1 is the lag parameter, a_i is an unobserved individual specific effect, and \varepsilon_{i,t} is an idiosyncratic remainder component. The model structure accounts for unobserved individual specific heterogeneity and dynamics. Note that more general lag structures and further covariates are beyond the scope of the current implementation in pdynmc.

The nonlinear IV estimator employs the original version of the nonlinear moment conditions of \insertCiteAhnSch1995;textualpdynmc. More details on the implementation and the properties of the estimator are provided in \insertCiteFriPuaSch2024;textualpdynmc.

Value

An object of class 'numeric' that contains the coefficient estimate for the lag parameter according to the two roots of the quadratic equation.

Author(s)

Joachim Schnurbus, Markus Fritsch

References

\insertAllCited

Examples

## Load data
data(cigDemand, package = "pdynmc")
dat <- cigDemand

## Code example
m1 <- NLIV(dat = dat, varname.i = "state", varname.t = "year", varname.y = "packpc")

pdynmc documentation built on Sept. 12, 2024, 7:42 a.m.