Statistical inference for panel dynamic simultaneous equations models

Hsiao, Chêng; Zhou, Qiankun

doi:10.1016/j.jeconom.2015.03.031

Cited by 22 publications

(13 citation statements)

References 23 publications

(23 reference statements)

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“…The first column of Table 3 reports the marginal effects from a (doubly) censored regression model (Greene, 2012) in which the dependent variable is the individual contribution of subject i in period t. 17 We have the following explanatory variables: Is Punishing g,t , a binary covariate that equals 1 if a sanctioning mechanism is in place in i's current group g, and 0 otherwise; Initial Group i,t , a dummy taking the value 1 if i is located in the group she was allocated to at the beginning of the experiment, and 0 otherwise; Group Contribution g[−i],t−1 , the average contribution of the other members of i's current group in 16 For ease of exposition, we estimate the models and present results for each of these outcomes separately. The findings reported below are generally similar if we fit panel dynamic simultaneous equations models, even though standard estimation approaches (e.g., Akashi and Kunitomo, 2012;Hsiao and Zhou, 2015) require ignoring the censoring of contributions and the dichotomous nature of migration and voting decisions.…”

Section: Individual Behaviorsupporting

confidence: 54%

Endogenous sanctioning institutions and migration patterns: Experimental evidence

Cobo-Reyes

Katz

Meraglia

2019

Journal of Economic Behavior & Organization

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We experimentally analyze the effect of the endogenous choice of sanctioning institutions on cooperation and migration patterns across societies. In our experiment, subjects are allocated to one of two groups, are endowed with group-specific preferences, and play a public goods game for 30 periods. Each period, subjects can move between groups and, at fixed intervals, can vote on whether to implement formal (centralized) sanctioning institutions in their group. We compare this environment to one in which only one group is exogenously endowed with sanctioning institutions. We find that subjects' ability to vote on institutions leads to (i) a more efficient partition of subjects between groups, (ii) a lower migration rate, (iii) an increase in overall payoffs, and (iv) a decrease in both inter-and intra-groups (payoff) inequality. Over time, subjects tend to vote for sanctioning institutions and contribute to the public good. AbstractWe experimentally analyze the effect of the endogenous choice of sanctioning institutions on cooperation and migration patterns across societies. In our experiment, subjects are allocated to one of two groups, are endowed with group-specific preferences, and play a public goods game for 30 periods. Each period, subjects can move between groups and, at fixed intervals, can vote on whether to implement formal (centralized) sanctioning institutions in their group. We compare this environment to one in which only one group is exogenously endowed with sanctioning institutions. We find that subjects' ability to vote on institutions leads to (i) a more efficient partition of subjects between groups, (ii) a lower migration rate, (iii) an increase in overall payoffs, and (iv) a decrease in both inter-and intra-groups (payoff) inequality. Over time, subjects tend to vote for sanctioning institutions and contribute to the public good. We are particularly indebted to Gary Charness and Carolina Di Tella for very useful comments and discussions. We also thank seminar participants at the University of Exeter BID Brown Bag seminar. The authors are thankful to the University of Exeter BID and BIP Clusters for financially supporting this project. All remaining errors are ours.

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Section: Individual Behaviorsupporting

confidence: 54%

Endogenous sanctioning institutions and migration patterns: Experimental evidence

Cobo-Reyes

Katz

Meraglia

2019

Journal of Economic Behavior & Organization

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“…Baltagi, 1981), many of the econometric challenges inherent in growth-related applications have been solved more recently. This is especially true for dynamic models (Hsiao & Zhou, 2015) and for spatial methods (see below; X. Liu & Saraiva, 2019;Yang & Lee, 2019).…”

Section: Literature Reviewmentioning

confidence: 99%

Economic Effects of Transportation Infrastructure Quantity and Quality: A Study of German Counties

Gaus

Link

2020

SSRN Journal

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In this paper, we analyze the impact of transportation infrastructure quantity and quality on regional economic production. We exploit an extensive panel dataset on the German county level (N=401), expressing the capital value and condition of highways between 2007 and 2016, to estimate a spatially extended translog production function. The spatial specification uses SLX and SDEM models, with various linear and nonlinear variants estimated using FGLS and GMM estimators accounting for endogeneity. We find, in line with existing research, a positive impact of the quantity of transport infrastructure both locally and supra-regionally. We furthermore provide evidence for the claim that insufficient maintenance and low infrastructure conditions significantly slow economic growth through a negative correlation between GDP and the quality grade of highways. A more detailed analysis, distinguishing different types of highways and constructions, confirms these findings and underlines the importance of the Bundesstraßen network as compared to the Autobahn system. The estimated impact of the quality of bridges is rather ambiguous and requires further research to achieve a better understanding.

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“…Maximizing the logarithm of (2.7), (θ) with respect to θ = (φ , σ ), where σ denotes the unknown elements of Ω * yields the (transformed) (quasi) maximum likelihood estimator (QMLE) (Binder, Hsiao and Pesaran (2005)). The QMLE with properly formulated initial conditions is asymptotically unbiased independent of the way N or T or both tend to infinity (Hsiao and Zhou (2014)).…”

Section: )mentioning

confidence: 99%

“…Alternatively, Hsiao and Zhou (2014) show that the likelihood approach with properly formulated initial value distribution for ỹ i0 yields an estimator that is asymptotically unbiased independent of the way N or T or both tend to infinity. However, maximizing the (transformed) likelihood function of (Δỹ i2 , .…”

Section: Dynamic Simultaneous Equations Modelsmentioning

confidence: 99%

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Panel Macroeconometric Modeling

Hsiao

2014

SSRN Journal

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This paper provides a selective survey of the panel macroeconometric techniques that focus on controlling the impact of "unobserved heterogeneity" across individuals and over time to obtain valid inference for "structures" that are common across individuals and over time. We consider issues of (i) estimating vector autoregressive models; (ii) testing of unit root or cointegration; (iii) statistical inference for dynamic simultaneous equations models; (iv) policy evaluation; and (v) aggregation and prediction.

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Statistical inference for panel dynamic simultaneous equations models

Cited by 22 publications

References 23 publications

Endogenous sanctioning institutions and migration patterns: Experimental evidence

Endogenous sanctioning institutions and migration patterns: Experimental evidence

Economic Effects of Transportation Infrastructure Quantity and Quality: A Study of German Counties

Panel Macroeconometric Modeling

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