Dynamic Panel Data Model - IT Assignment Help

Assignment Task

1. Please state a procedure for deciding the empirical regression model for time series data.

2. Consider a dynamic panel data model, yit = α ∗ i + ρyit−1 + uit. We know that the first difference approach cannot obtain a consistent estimate of ρ when T is fixed.

(a) Please state the approach proposed by Arellano and Bond (1991) who consider a GMM estimator:

(i) the orthogonal conditions,

(ii) the number of instruments.

(b) Can we consider a subset of the orthogonal conditions? say for t = 3, we only consider

4. Please verify why the OLS approach for the truncated data is biased.

5. Consider a static panel data model without the fixed/random effects. We further assume that the slope coefficient is homogeneous.

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