東華大學圖書館 |

Three Essays on Panel Data Models with Interactive and Unobserved Effects.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Three Essays on Panel Data Models with Interactive and Unobserved Effects./
作者:	Brown, Nicholas Lynn.
面頁冊數:	1 online resource (125 pages)
附註:	Source: Dissertations Abstracts International, Volume: 83-11, Section: B.
Contained By:	Dissertations Abstracts International83-11B.
標題:	Statistics. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=29170280click for full text (PQDT)
ISBN:	9798438749981

Three Essays on Panel Data Models with Interactive and Unobserved Effects.
Brown, Nicholas Lynn.

Three Essays on Panel Data Models with Interactive and Unobserved Effects. - 1 online resource (125 pages)

Source: Dissertations Abstracts International, Volume: 83-11, Section: B.

Thesis (Ph.D.)--Michigan State University, 2022.

Includes bibliographical references

Chapter 1: More Efficient Estimation of Multiplicative Panel Data Models in the Presence of Serial Correlation (with Jeffrey Wooldridge)We provide a systematic approach in obtaining an estimator asymptotically more efficient than the popular fixed effects Poisson (FEP) estimator for panel data models with multiplicative heterogeneity in the conditional mean. In particular, we derive the optimal instrumental variables under appealing `working' second moment assumptions that allow underdispersion, overdispersion, and general patterns of serial correlation. Because parameters in the optimal instruments must be estimated, we argue for combining our new moment conditions with those that define the FEP estimator to obtain a generalized method of moments (GMM) estimator no less efficient than the FEP estimator and the estimator using the new instruments. A simulation study shows that the GMM estimator behaves well in terms of bias, and it often delivers nontrivial efficiency gains -- even when the working second-moment assumptions fail.Chapter 2: Information equivalence among transformations of semiparametric nonlinear panel data modelsI consider transformations of nonlinear semiparametric mean functions which yield moment conditions for estimation. Such transformations are said to be information equivalent if they yield the same asymptotic efficiency bound. I first derive a unified theory of algebraic equivalence for moment conditions created by a given linear transformation. The main equivalence result states that under standard regularity conditions, transformations which create conditional moment restrictions in a given empirical setting need only to have an equal rank to reach the same efficiency bound. Example applications are considered, including nonlinear models with multiplicative heterogeneity and linear models with arbitrary unobserved factor structures.Chapter 3: Moment-based Estimation of Linear Panel Data Models with Factor-augmented ErrorsI consider linear panel data models with unobserved factor structures when the number of time periods is small relative to the number of cross-sectional units. I examine two popular methods of estimation: the first eliminates the factors with a parameterized quasi-long-differencing (QLD) transformation. The other, referred to as common correlated effects (CCE), uses the cross-sectional averages of the independent and response variables to project out the space spanned by the factors. I show that the classical CCE assumptions imply unused moment conditions which can be exploited by the QLD transformation to derive new linear estimators which weaken identifying assumptions and have desirable theoretical properties. I prove asymptotic normality of the linear QLD estimators under a heterogeneous slope model which allows for a tradeoff between identifying conditions. These estimators do not require the number of cross-sectional variables to be less than T-1, a strong restriction in fixed-$T$ CCE analysis. Finally, I investigate the effects of per-student expenditure on standardized test performance using data from the state of Michigan.

Electronic reproduction.
Ann Arbor, Mich. :
ProQuest,
2023

Mode of access: World Wide Web

ISBN: 9798438749981Subjects--Topical Terms:

517247
Statistics.
Subjects--Index Terms:

Efficiency boundsIndex Terms--Genre/Form:

542853
Electronic books.

Three Essays on Panel Data Models with Interactive and Unobserved Effects.
LDR:04536nmm a2200421K 4500 001 2357460
005 20230710070040.5
006 m o d
007 cr mn ---uuuuu
008 241011s2022 xx obm 000 0 eng d
020 $a 9798438749981
035 $a (MiAaPQ)AAI29170280
035 $a AAI29170280
040 $a MiAaPQ $b eng $c MiAaPQ $d NTU
100 1 $a Brown, Nicholas Lynn. $3 3697990
245 1 0 $a Three Essays on Panel Data Models with Interactive and Unobserved Effects.
264 0 $c 2022
300 $a 1 online resource (125 pages)
336 $a text $b txt $2 rdacontent
337 $a computer $b c $2 rdamedia
338 $a online resource $b cr $2 rdacarrier
500 $a Source: Dissertations Abstracts International, Volume: 83-11, Section: B.
500 $a Advisor: Wooldridge, Jeffrey M.
502 $a Thesis (Ph.D.)--Michigan State University, 2022.
504 $a Includes bibliographical references
520 $a Chapter 1: More Efficient Estimation of Multiplicative Panel Data Models in the Presence of Serial Correlation (with Jeffrey Wooldridge)We provide a systematic approach in obtaining an estimator asymptotically more efficient than the popular fixed effects Poisson (FEP) estimator for panel data models with multiplicative heterogeneity in the conditional mean. In particular, we derive the optimal instrumental variables under appealing `working' second moment assumptions that allow underdispersion, overdispersion, and general patterns of serial correlation. Because parameters in the optimal instruments must be estimated, we argue for combining our new moment conditions with those that define the FEP estimator to obtain a generalized method of moments (GMM) estimator no less efficient than the FEP estimator and the estimator using the new instruments. A simulation study shows that the GMM estimator behaves well in terms of bias, and it often delivers nontrivial efficiency gains -- even when the working second-moment assumptions fail.Chapter 2: Information equivalence among transformations of semiparametric nonlinear panel data modelsI consider transformations of nonlinear semiparametric mean functions which yield moment conditions for estimation. Such transformations are said to be information equivalent if they yield the same asymptotic efficiency bound. I first derive a unified theory of algebraic equivalence for moment conditions created by a given linear transformation. The main equivalence result states that under standard regularity conditions, transformations which create conditional moment restrictions in a given empirical setting need only to have an equal rank to reach the same efficiency bound. Example applications are considered, including nonlinear models with multiplicative heterogeneity and linear models with arbitrary unobserved factor structures.Chapter 3: Moment-based Estimation of Linear Panel Data Models with Factor-augmented ErrorsI consider linear panel data models with unobserved factor structures when the number of time periods is small relative to the number of cross-sectional units. I examine two popular methods of estimation: the first eliminates the factors with a parameterized quasi-long-differencing (QLD) transformation. The other, referred to as common correlated effects (CCE), uses the cross-sectional averages of the independent and response variables to project out the space spanned by the factors. I show that the classical CCE assumptions imply unused moment conditions which can be exploited by the QLD transformation to derive new linear estimators which weaken identifying assumptions and have desirable theoretical properties. I prove asymptotic normality of the linear QLD estimators under a heterogeneous slope model which allows for a tradeoff between identifying conditions. These estimators do not require the number of cross-sectional variables to be less than T-1, a strong restriction in fixed-$T$ CCE analysis. Finally, I investigate the effects of per-student expenditure on standardized test performance using data from the state of Michigan.
533 $a Electronic reproduction. $b Ann Arbor, Mich. : $c ProQuest, $d 2023
538 $a Mode of access: World Wide Web
650 4 $a Statistics. $3 517247
650 4 $a Statistical physics. $3 536281
650 4 $a Information science. $3 554358
653 $a Efficiency bounds
653 $a Factor models
653 $a Fixed-T
653 $a Panel data
653 $a Semiparametric
655 7 $a Electronic books. $2 lcsh $3 542853
690 $a 0463
690 $a 0723
690 $a 0217
690 $a 0511
690 $a 0501
710 2 $a ProQuest Information and Learning Co. $3 783688
710 2 $a Michigan State University. $b Economics - Doctor of Philosophy. $3 2094801
773 0 $t Dissertations Abstracts International $g 83-11B.
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=29170280 $z click for full text (PQDT)