NLIV_T: Nonlinear Instrumental Variables Estimator - t-Version...

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

Nonlinear Instrumental Variables Estimator - t-Version (NLIV_t).

Description

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

Usage

NLIV_t(dat, varname.i, varname.t, varname.y, trueAR = NULL)

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.
trueAR	A logical variable indicating whether the true autoregressive parameter is known (defaults to 'NULL'). The parameter is used to compute the terms 'A', 'B', and 'C' that can be employed to rewrite the estimating equation. For details, see \insertCiteFriPuaSch2024;textualpdynmc.

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 an alternative formulation 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_t(dat = dat, varname.i = "state", varname.t = "year", varname.y = "packpc")

markusfritsch/pdynmc documentation built on June 13, 2025, 8:55 p.m.