Some Additional Moment Conditions for a Dynamic Count Panel Data Model with Predetermined Explanatory Variables

• 作者: Yoshitsugu Kitazawa
• 来源期刊: 统计学期刊(英文)
• 学科: 数学
• 关键词: COUNT Panel Data Linear FEEDBACK Model MOMENT Conditions GMM Monte Carlo EXPERIMENTS
• 年，卷（期）: 2013,（5）
• 页码范围: 319-333
• 页数: 15页
• 分类号: O1

摘要

This paper proposes some additional moment conditions for the linear feedback model with explanatory variables being predetermined, which is proposed by [1] for the purpose of dealing with count panel data. The newly proposed moment conditions include those associated with the equidispersion, the Negbin I-type model and the stationarity. The GMM estimators are constructed incorporating the additional moment conditions. Some Monte Carlo experiments indicate that the GMM estimators incorporating the additional moment conditions perform well, compared to that using only the conventional moment conditions proposed by [2,3].