Mohamed R. Abonazel
Associate Professor of Applied Statistics and Econometrics at Cairo University
5 Dr. Ahmed Zewail Street, Postal Code: 12613, Orman, Giza, Egypt (email)
Some Estimation Methods for Dynamic Panel Data Models
- Citation:
- Abonazel, M. R., Some Estimation Methods for Dynamic Panel Data Models, , Cairo, Cairo University , 2014.
Thesis Type:
PhD thesisAbstract:
This thesis considers estimation of dynamic panel data models under different assumptions, and we focus on explore the bias properties of the different estimation methods. And, we focus on GMM estimation because of it has been used in many applications and it gives efficient estimators. This efficiency is affected by the choice of the initial weighting matrix. It is common practice to use the inverse of the moment matrix of the instruments as an initial weighting matrix. However, an initial optimal weighting matrix is not known, especially in the system GMM estimation procedure.Therefore, the main objective of this thesis is to improve the efficiency of GMM estimators.
To achieve this objective we proposed new approach to improve the efficiency of GMM estimators. Our approach based on finding and using the optimal weighting matrices to obtain more efficient estimators.