Panel Data Models & GMM

MSc. William Sánchez

o 2020

Lima, octubre 2021

Nota: Presentación en base a las notas de clase del Profesor PhD. Barry Reilly del MSc in Development Economics de la
universidad de Sussex, UK.
Lecture Outline

1. Advantages of Panel Data

2. The Structure of Panel Data Models

3. A Review of the Fixed Effects Model

4. The Generalized Methods of Moments (GMM) Estimator

5. Dynamic Fixed Effects Panel Modelling using GMM

Advantages of Panel Data

(i) improve the efficiency of econometric estimates;

(ii) allow the estimation of dynamic effects;

(iii) provide solutions to important econometric problems (e.g.,

ability bias).
The general structure of a fixed effects panel model is:
yit = i + xit + uit where uit ~ IID(0, 2)

i = 1,2,......., N individual-level observations,

t = 1,2,.......,T time series observations.

There are N groups here!

Compute the group means and define as:

1 T
yi =  yit 1 T
xi =  xit 1 T

T t =1 T t =1
ui = 
T t =1
uit
The average relationship is given by:
If we subtract the average relationship from the one in the last slide, we obtain:

yi = i +  xi + ui
and this simplifies to:

OLS yields unbiased and consistent estimates for this regression.

(yit – yi ) = (i – i) + (xit – xi ) + (uit – ui )
This is known as the ‘within estimator’.

(yit – yi ) = (xit – xi ) + (uit – ui )

Assume we specify the general model:

This is the fixed effect for group i

↓
yit = i + xit + uit
↕
The xi variables can be correlated with the i

i=1,......,N; t=1,.....,T.

The Fixed Effects (FE) model above can be estimated using OLS in
three different ways.
(i) transforming the data into deviations from the group mean

(i.e., the ‘within’ estimator);

(ii) including dummies for each i cross-sectional unit or group

(i.e., the Least Squares Dummy Variable (LSDV) estimator);

(iii) first differencing

(i.e., eliminate the fixed effects through differencing).
The Random Effects Estimator

This estimator is sometimes suggested as an alternative to the fixed effects

estimator.

Estimation requires use of the Generalised Least Squares (GLS) procedure.

The GLS estimator is a weighted average of the ‘within-group’ and the

‘between-group’ panel estimators.

The key assumption of the model is that the random effects are independent of
the explanatory variables – a very strong assumption!
The Hausman test
We can try and formally test which of these two models is more appropriate
in a given application.

The matrix version of the Hausman test is expressed as:

[RE – FE][V(FE) – V(RE)]-1[RE – FE] ~ χ 2k

↓
This matrix difference may not be positive definite!
where k is the number of covariates (excluding the constant).

The null and alternative hypotheses are expressed as:

Ho: Random effects independent of explanatory variables
Ha: Ho is not true
The Dynamic model
PROBLEM: The use of a lagged dependent variable in the fixed effects model
poses a serious econometric problem.

The dynamic model could be expressed as:

yit = i + yi,t-1 + xit + uit

The ‘within’ transformation for this equation can be expressed as:

(yit – yi ) = (yi,t-1 – yi - 1 ) + (xit – xi ) + (uit – ui )

↓ ↑
This lagged variable is… ↑
….correlated with the average error!
The Dynamic model
In this case yi - 1 is correlated with the error term (uit – ui )
even if uit is not itself serially correlated.

This is because yi - 1 is correlated with ui by construction.

The correlation between the lagged dependent variable and the error term
renders the estimate for  biased.

For small T the bias is always negative if  > 0 (i.e., ‘Nickell Bias’).

The solution to the problem requires use of the Instrumental Variable (IV)
estimation procedure.
The Dynamic model

Assume a simple panel model with no covariates is expressed as:

yi,t = yi,t-1 + i + ui,t

We know the ‘within’ estimator of  is inconsistent for large N

and small T (i.e., the ‘Nickell bias’).
Anderson and Hsiao (1981) provide a solution involving two
stages.
The Dynamic model
The first stage uses a first difference operator to eliminate the fixed effects (i.e.,
the i terms).
But this is still correlated with the error
↓ ↓
yi,t – yi,t-1 = (yi,t-1 – yi,t-2) + (ui,t – ui,t-1)
This expression could be re-formulated as:
yi,t = yi,t-1 + ui,t

where  denotes the first difference operator.

The Dynamic model
The second stage uses Instrumental Variable (IV) estimation to instrument the
lagged dependent variable.
A necessary condition for the consistency of the IV estimator in this case is
given by:
1 N T
plim   (ui,t − ui,t−1) yi,t−2 = 0
N(T − 1) i=1 t=2

for either T or N or both → .

This suggests use of yi,t-2 as an instrument in addition perhaps to higher order
lags (e.g., yi,t-3, yi,t-4 etc.).
The Dynamic model
Arellano and Bond (1991) proposed a Generalized Method of Moments
(GMM) procedure that is more efficient than the Anderson-Hsiao estimator.

Their point of departure is to note that the Anderson and Hsiao (1981)
consistency condition can be re-expressed in its theoretical counterpart as:

E[(ui,t − ui,t−1) yi,t−2] = 0

This is a moment condition and the Anderson-Hsiao IV estimator imposes one
moment condition in estimation.
The Dynamic model

Imposing more moment conditions in estimation enhances the

efficiency of the estimator ………provided the additional moment
conditions are actually satisfied.
The Arellano and Bond GMM estimator does exactly this and uses the
lagged level variables as instruments.
The instrumentation is undertaken on a ‘period-by-period’ basis and
so does not reduce the sample length.
The instruments used are known as GMM-style (or ‘internal’)
instruments.
The Dynamic model
EXAMPLE: Assume we wish to estimate a dynamic model of the following
form:
yi,t – yi,t-1 = (yi,t-1– yi,t-2) + (ui,t – ui,t-1)

Assume we have a panel where N is the number of groups, and the data start in
2002 and terminate in 2008, so Ti = 7.

We need to both first difference the data, which loses one year of data………..

…………….and lag the differences, thus losing another year of data.

Instrument Relevance in the Arellano-Bond GMM Estimator

Instrumented Variables
L.yi,2008 L.yi,2007 L.yi,2006 L.yi,2005 L.yi,2004
Instruments
yi,2006  X X X X
yi,2005   X X X
yi,2004    X X
yi,2003     X
yi,2002     

L.yi,2008 = yi,2007 – yi,2006

It is by definition highly correlated with the first

instrument listed here yi,2006.
The second column reveals that yi,2006 does not act as an
instrument for L.yi,2007 = yi,2006 – yi,2005, though it is
obviously correlated with this outcome.

This is because it is also correlated with the error structure

for this observation (i.e., ui,2007 – ui,2006), which means it is
not orthogonal to the error process.
Instrument Orthogonality in the Arellano-Bond GMM Estimator

Error Processes
ui,2008 ui,2007 ui,2006 ui,2005 ui,2004
Instruments
yi,2006  X X X X
yi,2005   X X X
yi,2004    X X
yi,2003     X
yi,2002     

In the first case the yi,2006 is clearly independent of ui,2008

= ui,2008 – ui,2007

………but obviously not of ui,2007 = ui,2007 – ui,2006.

So, the Arellano-Bond procedure uses instruments in a different
way than standard IV/2SLS specifying the instrumentation on a
period-by-period basis.
It exploits all available information and is less profligate in regard
to information loss than conventional IV/2SLS procedures.
In general, the formula for the number of instruments available in
the Arellano-Bond framework for the lagged level variables alone
is given by:
(Ti − 2) (Ti −1)
2
In the current example, the 15 moment conditions are:

1. E(ui,2008, yi,2006) = 0
Substitute:
2. E(ui,2008, yi,2005) = 0
3. E(ui,2008, yi,2004) = 0 ui,t = yi,t – yi,t-1
4. E(ui,2008, yi,2003) = 0
for the 15 moment conditions to
5. E(ui,2008, yi,2002) = 0
implement the GMM procedure
. . .
. . .
15. E(ui,2004, yi,2002) = 0
1. Interpret the summary statistics for the variables b, cburg, sburg, a
panel dataset is this?
2. Estimate the regression model [1] using both the LSDV and the
procedures:
12
lbi,t = i + 1cburgi,t-1 + 2sburgi,t-1 + 3uri,t + 
j= 3
jyrji,t + ui,t

Why was a fixed effects estimator used in this case? Compare the re
variables other than the time dummies. What do you conclude? Interp
deterrence and unemployment rate variables using the estimates
procedure. Why do you think lagged values for the two deterrence va
Variable Name Variable Description

b The number of burglaries per 1,000 of the police force area’s resident
population.
lb The natural logarithm of burglaries per 1,000 of the police force area’s
resident population.
cburg The percentage of recorded burglary offences solved by the police in the
police force area.
sburg The average sentence length for burglary in the police force area measured
in months.
ur The male unemployment rate expressed in percentages for the police force
area.
yr1 – yr12 A set of 12 time dummies, one for each year of the data.

pfa The identifier variable for the police force area in England & Wales.

year The identifier variable for the year.

 Summary Statistics
. sum b cburg sburg ur

Variable Obs Mean Std. Dev. Min Max

b 504 14.97851 7.344829 4.121226 46.13736

cburg 504 31.24405 8.584625 8 61
sburg 504 10.54782 2.26282 5.2 17.4
ur 504 11.31667 4.786645 1.8 26.1
The data are drawn from 42 police force areas in the England &
Wales over 12 years (1980 to 1991).

There are 1242 = 504 observations in the STATA dataset.

So this is a balanced panel dataset.

***inform STATA that you are using a panel with 'pfa' the cross-sectional indicator
***& 'year' the time period indicator

tsset pfa year

****Estimate the LSDV Model

reg lb L.cburg L.sburg ur yr3-yr12 i.pfa, robust

****Estimate the 'within' Model

xtreg lb L.cburg L.sburg ur yr3-yr12, vce(robust) fe i(pfa)
 The Fixed Effects Model
The use of time dummies makes the
assumption of the independence of
idiosyncratic errors (i.e., ui,t) across
This is the fixed effect for police force area more plausible.
police force area i
↓ 12 ↓
lbi,t = i + 1cburgi,t-1 + 2sburgi,t-1 + 3uri,t +  jyrji,t + ui,t
↑ ↑ j= 3

Why use lagged values here?

Because contemporaneous conviction rates and sentence lengths may be

determined by contemporaneous criminal activity.
The fixed effects capture unobservable or omitted factors assumed fixed over
time but vary across police force areas that may influence burglary activity.
For example:
❑ poverty and inequality (if invariant over time);
❑ other measures of privation and disadvantage not captured by the
unemployment rate and assumed invariant over time;
❑ demographic and socio-economic characteristics of the police force areas
(assumed invariant over time);
❑ police force efficiency (or inefficiency) in solving and deterring crime not
reflected in the detection rate variable (again assumed invariant over time).
Fixed-effects (within) regression Number of obs = 462
Group variable: pfa Number of groups = 42
The within R2 provides the goodness-
R-sq: within = 0.7356
between = 0.5983
→ Obs per group: min =
avg =
11
11.0
of-fit measure here.
overall = 0.3897 max = 11

→ ↓
F(13,41) = 90.36
corr(u_i, Xb) = 0.2953 Prob > F = 0.0000
We allow for a correlation between
(Std. Err. adjusted for 42 clusters in pfa)

Robust
the fixed effects and the X variables.
lb Coef. Std. Err. t P>|t| [95% Conf. Interval]

→ cburg
L1. -.0047736 .0022086 -2.16 0.037 -.009234 -.0003131
We cluster the standard errors by the
→ sburg
L1. -.019928 .0075107 -2.65 0.011 -.0350962 -.0047599 42 police force areas.
ur
yr3 ← .0167436
.0717116
.0064247
.0134229
2.61
5.34
0.013
0.000
.0037688
.0446036
.0297185
.0988197
yr4 .0651284 .0153172 4.25 0.000 .0341946 .0960621
yr5 .2065616 .0172722 11.96 0.000 .1716798 .2414434
yr6
yr7
.1939467
.293213
.0199732
.0274745
9.71
10.67
0.000
0.000
.15361
.237727
.2342835
.348699
In general, the number of clusters
yr8
yr9
.2632099
.2483722
.0273049
.0433381
9.64
5.73
0.000
0.000
.2080665
.1608491
.3183532
.3358953 should exceed 40 for the standard
yr10 .3142834 .0544869 5.77 0.000 .2042448 .424322
yr11
yr12
.5457865
.6843745
.0533539
.0372679
10.23
18.36
0.000
0.000
.4380361
.6091105
.6535368
.7596386
errors to have good properties.
_cons 2.535844 .1230531 20.61 0.000 2.287334 2.784355

sigma_u .35220166
sigma_e .09962376
rho .92591754 (fraction of variance due to u_i)
Interpretation of ‘Within Regression’ Estimates

▪ A one percentage point ↑ in the burglary detection rate reduces

the burglary rate by 0.5%, on average and holding all other
factors (including the fixed effects) constant.
▪ A one month ↑ in the sentence length reduces the burglary rate
by 2% holding all other factors (including the fixed effects)
constant.
▪ A one percentage point ↑ in the unemployment rate raises the
burglary rate by 1.7%, holding all other factors (including the
fixed effects) constant.
Question 3
The matrix version of the Hausman test is expressed as:

[RE – FE][V(FE) – V(RE)]-1[RE – FE] ~ χ 2k

The null hypothesis is that the random effects are orthogonal to the explanatory
variables.
The random effects and the fixed effects estimates are both consistent under
the null.
The variance of the fixed effects estimates is inefficient under the null, while
the variance of the random effects is efficient under the null.
. hausman fixed

Coefficients
The Hausman test in this case does
(b) (B) (b-B) sqrt(diag(V_b-V_B))
fixed . Difference S.E.
not satisfy its asymptotic
L.cburg -.0047736 -.0045043 -.0002693 . properties.
L.sburg -.019928 -.0218408 .0019128 .
ur .0167436 .0254982 -.0087546 .0015092
yr3 .0717116 .0560364 .0156752 .
yr4 .0651284 .0504259 .0147025 .
yr5
yr6
.2065616
.1939467
.2116114
.1990816
-.0050498
-.0051349
.
. …………….and is thus not
yr7 .293213 .3000393 -.0068263 .
yr8 .2632099 .2839471 -.0207372 . interpretable!
yr9 .2483722 .2922326 -.0438605 .0056538
yr10 .3142834 .3773769 -.0630934 .0096494
yr11 .5457865 .6120788 -.0662924 .0102828
yr12 .6843745 .7216838 -.0373093 .0035821

b = consistent under Ho and Ha; obtained from xtreg Given this finding, the best
B = inconsistent under Ha, efficient under Ho; obtained from xtreg
approach is to stick to the fixed
Test: Ho: difference in coefficients not systematic
effects estimator in this case.
chi2(13) = (b-B)'[(V_b-V_B)^(-1)](b-B)
= 24.26
Prob>chi2 = ↙0.0288
(V_b-V_B is not positive definite)
Estimate the dynamic fixed effects model:

This parameter represents the ‘habit persistence’ effect

↓
lbi,t = i + lbi,t-1 + 1cburgi,t-1 + 2sburgi,t-1 + 3uri,t + jyrji,t + ui,t
↑ ↑ ↑
These parameters are now the short-
run semi-elasticity effects.
 ‘Long-run’ Semi–elasticities


Clear-up Rate:
− 
The long-run effects are larger
 than the short-run effects (in
Sentence Length:
−  absolute terms) given  < 1.


Male Unemployment Rate:
− 
Table 1: Habit Persistence Model – Fixed Effects
Variable Estimates Implied ‘Long-
run’ Effects
lbi,t-1 0.5707*** n/a This estimate is
(0.1480) subject to bias if fixed
cburgi,t-1 -0.0029*** -0.0067** effects model is
(0.0011) (0.0075) estimated by OLS……
sburgi,t-1 -0.0151* -0.0351***
but the other
(0.0077) (0.0717)
estimates in this
uri,t 0.0104*** 0.0241**
regression model are
(0.0038) (0.0091)
also subject to bias!
Year Dummies Yes
PFA Fixed Effects Yes
N 462
The estimate for  is subject to the ‘Nickell bias’ and is
downward biased.
This has implications for the magnitude of the habit
persistence effect itself and the implied long-run effects.
These long-run effects are also biased downwards!
Using the Anderson-Hsiao procedure, estimate:

lbi,t = lbi,t-1 + 1cburgi,t-1 + 2sburgi,t-1

+ 3uri,t + jyrji,t + ui,t

We use instruments based on either of the following moment
conditions:

E[( ui,t − ui,t −1) lbi,t −2] = 0 [1]

E[( ui,t − ui,t −1) lbi,t −3] = 0

or
E[( ui,t − ui,t −1)(lbi,t −2 − lbi,t −3)] = 0 [1]

E[( ui,t − ui,t −1)(lbi,t −3 − lbi,t −4)] = 0

Table 2:
Habit Persistence Model – Anderson-Hsiao First Differenced IV
Instruments using [1] Instruments using [1]
Variable Estimates Estimates
lbi,t-1 -0.1417 -0.1531
(0.2251) (0.2474)
cburgi,t-1 -0.0013 -0.0011 Note: The
(0.0014) (0.0015) sample size
sburgi,t-1 -0.0087** -0.0088** is sharply
(0.0037) (0.0044) reduced
uri,t 0.0237*** 0.0324*** using this
(0.0080) (0.0118) IV
procedure.
Year Dummies Yes Yes
N 336 294
Use the two-step difference GMM estimator to estimate the
following simple autoregressive fixed effects panel data model:

lbi,t = i + lbi,t-1 + vi,t

Outline exactly where the number of instruments used in

estimation originates from in this case.
. xtreg lb L.lb, vce(robust)fe i(pfa)

Fixed-effects (within) regression Number of obs = 462

Group variable: pfa Number of groups = 42

R-sq: Obs per group:

within = 0.5144 min = 11
between = 0.9981 avg = 11.0
overall = 0.9123 max = 11

F(1,41) = 207.06
corr(u_i, Xb) = 0.9050 Prob > F = 0.0000

(Std. Err. adjusted for 42 clusters in pfa)

Robust
lb Coef. Std. Err. t P>|t| [95% Conf. Interval]

lb The OLS estimate

L1. .7998484 .055585 14.39 0.000 .6875923 .9121045

↖ for  will be subject

_cons .5813352 .1425151 4.08 0.000 .2935202 .8691501

sigma_u .07845605
to the ‘Nickell Bias’,
sigma_e
rho
.13305379
.25799235 (fraction of variance due to u_i)
so we should use
GMM
In GMM, the quadratic objective function (or minimand) is:
↙ This is the variance-covariance matrix of
~

g( β ) = (Z[y – X])(Z[y – X]) the sample moments!

↑ ↑
These are the sample moment conditions, which are set to zero.
where  is an LL positive definite matrix.

~
~
dg (β)
~

Find the estimator β that minimizes g( β ): =0

dβ
 lbi,t = i + lbi,t-1 + vi,t
xtabond2 lb L.(lb), gmm(L.(lb)) noleveleq robust twostep
‘noleveleq’: This command instructs STATA to estimate difference GMM.
‘twostep’: This command instructs STATA to compute the elements of the matrix  for
the variance-covariance matrix of the moment conditions and re-estimate.
‘robust’: This command instructs STATA to compute the heteroscedastic and
autocorrelation (HAC) consistent variance-covariance matrix of the coefficient estimates.
‘collapse’: This command instructs STATA to reduce the number of internal GMM
instruments used in estimation – we use this later on.
Dynamic panel-data estimation, two-step difference GMM

Group variable: pfa Number of obs = 420

Time variable : year Number of groups = 42
Number of instruments = 55 ←where does Obs per group: min = 10
Wald chi2(1) = 252.61 this number avg = 10.00
Prob > chi2 = 0.000 max = 10
come from?
Corrected
lb Coef. Std. Err. z P>|z| [95% Conf. Interval] where Ti = 12
lb
L1. .8122217 .0511031 15.89 0.000 .7120614 .912382

Instruments for first differences equation Therefore:

GMM-type (missing=0, separate instruments for each period unless collapsed)
L(1/11).L.lb (12 – 2) ×(12 – 1) ÷ 2 =
Arellano-Bond test for AR(1) in first differences: z = -1.55 Pr > z = 0.121
Arellano-Bond test for AR(2) in first differences: z = 1.02 Pr > z = 0.306 } = 55
Sargan test of overid. restrictions: chi2(54) = 360.53 Prob > chi2 = 0.000
(Not robust, but not weakened by many instruments.)
Hansen test of
(Robust, but
overid. restrictions: chi2(54) = 41.95 Prob > chi2 = 0.884
weakened by many instruments.)
}
 In implementing the GMM
Moment Conditions
procedure, we substitute:
1. E(vi,91, lbi,89) = 0
Δvi,t = lbi,t – lbi,t-1
2. E(vi,91, lbi,88) = 0
3. E(vi,91, lbi,87) = 0 into the set of moment conditions.

4. E(vi,91, lbi,86) = 0 For example:

. . . Δvi,91 = lbi,91 - lbi,90
. . .
for moment condition 1……
55. E(vi,82, lbi,80) = 0 ……..and so on!
Estimate a dynamic fixed effects model using two-step difference
GMM:
12
lbi,t = i + lbi,t-1 + 1cburgi,t-1 + 2sburgi,t-1 + 3uri,t +  jyrji,t + ui,t
j= 3
↑ ↑
We treat these two variables as
endogenous as well in the GMM
modelling.
 Table 3: Habit Persistence Model – Two-step Difference GMM
Variable Estimates Implied ‘Long-run’ Effects

lbi,t-1 0.4807* n/a

(0.2476)
cburgi,t-1 -0.0038* -0.0074*
(0.0021) (0.0045)
sburgi,t-1 -0.0093 -0.0179
(0.0072) (0.0146)
uri,t 0.0200* 0.0384
(0.0121) (0.0332)
Year Dummies Yes
Test for AR(1) -1.38
(0.17)
Test for AR(2) 1.49
(0.14)
Sargan test for Over- 241.9
identifying Restrictions (0.00)
Hansen test for Over- 27.48
identifying Restrictions (1.00)
Number of Instruments 176
N 420
 Table 3: Habit Persistence Model – Two-step Difference GMM
Variable Estimates Implied ‘Long-run’ Effects

lbi,t-1 0.4807* 55 here! n/a

(0.2476) +
cburgi,t-1 -0.0038* 55 here! -0.0074*
(0.0021) + (0.0045)
sburgi,t-1 -0.0093 55 here! -0.0179
(0.0072) + (0.0146)
uri,t 0.0200* 1 here! 0.0384
(0.0121) + (0.0332)
Year Dummies Yes 10 here!
Test for AR(1) -1.38 = 176
(0.17)
Test for AR(2) 1.49
(0.14)
Sargan test for Over- 241.9
identifying Restrictions (0.00)
Hansen test for Over- 27.48
identifying Restrictions (1.00)
Number of Instruments 176
N 420
 Table 3: Habit Persistence Model – Two-step Difference GMM
Variable Estimates Implied ‘Long-run’ Effects

lbi,t-1 0.4807* n/a

(0.2476)
cburgi,t-1 -0.0038* -0.0074*
(0.0021) (0.0045)
sburgi,t-1 -0.0093 -0.0179
(0.0072) (0.0146)
uri,t 0.0200* 0.0384
(0.0121) (0.0332) Over-instrumentation weakens the
Year Dummies Yes power of the Hansen test……
Test for AR(1) -1.38
(0.17) ……leading to suspiciously high
Test for AR(2) 1.49 prob-values close to 1
(0.14)
Sargan test for Over- 241.9 It is advisable to collapse the
identifying Restrictions (0.00) instrument set.
Hansen test for Over- 27.48
identifying Restrictions Is this prob-value of 1.00 suspicious??
(1.00)
Number of Instruments 176
Collapse the instrument set by using
the lead diagonal of  cases here….

…yielding 10 moment conditions for

each endogenous regressor here.
Question 7:

Instrument Set in the AB GMM Estimator for Equation [3]

L.lbi,91 L.lbi,90 L.lbi,89 L.lbi,88 L.lbi,87 L.lbi,86 L.lbi,85 L.lbi,84 L.lbi,83 L.lbi,82
Instruments
lbi,89  X X X X X X X X X
lbi,88   X X X X X X X X
lbi,87    X X X X X X X
lbi,86     X X X X X X
lbi,85      X X X X X
lbi,84       X X X X
lbi,83        X X X
lbi,82         X X
lbi,81          X
lbi,80          

(Ti −2)(Ti −1)

We used the formula:
2

In our application here Ti = 12, so we compute as (12−2)(12−1) = 55.

2
 Table 4: PA Model – Two-step Difference GMM
Variable Estimates ‘Long-run’ Effects
lbi,t-1 0.6972** n/a
(0.2572)
cburgi,t-1 -0.0031 -0.0103
(0.0020) (0.0119)
sburgi,t-1 -0.0147* -0.0484
(0.0020) (0.0500)
uri,t 0.0086 0.0286
(0.0080) (0.0249)
Year Dummies Yes
Test for AR(1) -1.53 The prob-value for the
(0.13) Hansen test now looks
Test for AR(2) 1.58 more plausible!
(0.14)
Sargan test for Over-identifying 48.57
‘Rule of thumb’: Never
Restrictions (0.01)
Hansen test for Over-identifying 35.43 have more GMM
Restrictions (0.11) instruments than the
Number of Instruments 41 number of units.
N 420
 Table 4: PA Model – Two-step Difference GMM
Variable Estimates ‘Long-run’ Effects
lbi,t-1 0.6972** n/a
(0.2572)
cburgi,t-1 -0.0031 -0.0103
(0.0020) (0.0119)
sburgi,t-1 -0.0147* -0.0484
(0.0020) (0.0500)
uri,t 0.0086 0.0286
(0.0080) (0.0249)
Year Dummies Yes
Test for AR(1) -1.53 No evidence of AR(1)
(0.13) serial
Test for AR(2) 1.58 correlation in the levels of
(0.14) the errors based on the
Sargan test for Over-identifying 48.57
AR(2) test here!
Restrictions (0.01)
Hansen test for Over-identifying 35.43
Restrictions (0.11)
Number of Instruments 41
N 420
Table 1: Habit Persistence Model – Fixed Effects

Variable Estimates Implied ‘Long-run’

Effects

lbi,t-1 0.5707*** n/a

(0.1480)

cburgi,t-1 -0.0029*** -0.0067**

(0.0011) (0.0075)

sburgi,t-1 -0.0151* -0.0351***

(0.0077) (0.0717)

uri,t 0.0104*** 0.0241**

(0.0038) (0.0091)

Year Dummies Yes

PFA Fixed Effects Yes
N 462
The magnitude of the ‘Nickell bias’ is:

[[0.5705 – 0.6972] 0.6972]100 = –18.2%.

 QUESTION: Where did I
get the number of
restrictions under test for
the Hansen test from?

ANSWER: The number of

instruments (41) minus the
number of parameters
estimated (14) = 27

↖
Propuesta de temas de investigación I
Título
1. Efecto causal de las Instituciones y el capital humano en el desarrollo económico: una
aproximación de modelos de datos de panel dinámico.
2. Evaluación de los determinantes de la delincuencia a nivel distritos en Lima Metropolitana: un
enfoque de datos de panel.
3. Impacto del acceso a la tecnología sobre el crecimiento económico: una evaluación regional para
el caso peruano.
4. Impacto del capital humano sobre el crecimiento económico: un análisis regional para el caso
peruano.
5. Efecto causal de la desigualdad sobre el crecimiento económico: evidencia para el caso peruano
a nivel regional.
6. Determinantes de la inclusión financiera en América Latina y el Caribe: una aproximación de
datos de panel.
7. Determinantes de la inclusión financiera en las mujeres de América Latina y el Caribe: un
enfoque de datos de panel.
8. Determinantes de la tasa de desempleo en América Latina y el Caribe: un análisis de datos de
panel dinámico.
Propuesta de temas de investigación II
Título
9. Inclusión financiera e informalidad: evidencia empírica internacional.
10. Diversificación de las exportaciones y crecimiento económico: un enfoque de panel
dinámico.
11. Infraestructura y crecimiento económico: un enfoque de modelos panel dinámico no
lineal.
12. Complejidad económica y crecimiento económico: evidencia empírica internacional.
13. ¿Se cumple la maldición de los recursos naturales?
14. Recursos naturales, instituciones y crecimiento económico: evidencia empírica
internacional
15. Volatilidad económica y crecimiento económico: un enfoque de panel dinámico
16. Convergencia condicional: una aproximación de modelos panel Cointegrado

Metodología
Modelos de datos de panel, estimadores de Arellano&Bond, Blundell&Bond, System GMM.
 ← ↖

↘
}←
Aplicaciones I

Fuente: Bhattacharyya (2008).

Aplicaciones I

Fuente: Bhattacharyya (2008).

Aplicaciones I

Fuente: Bhattacharyya (2008).

Aplicaciones I

Fuente: Bhattacharyya (2008).

Aplicaciones I

Fuente: Bhattacharyya (2008).

Aplicaciones II

Fuente: Chang et al (2008).

Aplicaciones II

Fuente: Chang et al (2008).

Aplicaciones II

Fuente: Chang et al (2008).

Aplicaciones II

Fuente: Chang et al (2008).