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

Rosen Azad Chowdhury, Bill Russell

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    1 Citation (Scopus)
    155 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
    JournalScottish Journal of Political Economy
    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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