The Difference, System and ‘Double-D’ GMM Panel Estimators in the Presence of Structural Breaks

Rosen Azad Chowdhury, Bill Russell

Research output: Contribution to journalArticlepeer-review

3 Citations (Scopus)
167 Downloads (Pure)

Abstract

The effects of structural breaks in dynamic panels are more complicated than in time series models as the bias can be either negative or positive. This paper focuses on the effects of mean shifts in otherwise stationary processes within an instrumental variable panel estimation framework. We show the sources of the bias and a Monte Carlo analysis calibrated on United States bank lending data demonstrates the size of the bias for a range of auto-regressive parameters. We also propose additional moment conditions that can be used to reduce the biases caused by shifts in the mean of the data.
Original languageEnglish
Pages (from-to)271-292
Number of pages22
JournalScottish Journal of Political Economy
Volume65
Issue number3
Early online date10 Oct 2017
DOIs
Publication statusE-pub ahead of print - 10 Oct 2017

Keywords

  • Dynamic panel estimators
  • mean shifts/structural breaks
  • bank lending channel

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