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 language | English |
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Pages (from-to) | 271-292 |
Number of pages | 22 |
Journal | Scottish Journal of Political Economy |
Volume | 65 |
Issue number | 3 |
Early online date | 10 Oct 2017 |
DOIs | |
Publication status | E-pub ahead of print - 10 Oct 2017 |
Keywords
- Dynamic panel estimators
- mean shifts/structural breaks
- bank lending channel