Seminars 2008 — Abstracts

Friday, May 9

Speaker: Chris Skeels, University of Melbourne

Title: Efficient Estimation of Non-Linear Dynamic Panel Data Models with Application to Smooth Transition Models

Abstract: This paper explores estimation of a class of non-linear dynamic panel data models with additive unobserved individual specific effects. The models are specified by moment restrictions. The class includes the panel data AR(p) model and smooth transition autoregressive panel data (PSTAR) models. We derive an efficient set of moment restrictions for estimation and apply the results to estimation of panel smooth transition models with fixed effects, where the transition may be determined endogenously. The performance of the GMM estimator, both in terms of estimation precision and forecasting performance, is examined in a Monte Carlo experiment. We find that estimation of the parameters in the transition function can be problematic but that there may be significant benefits in terms of forecast performance.