This paper proposes some additional moment conditions for the linear feedback model with explanatory variables being predetermined, which is proposed by [1] for the purpose of dealing with count panel data. The newly proposed moment conditions include those associated with the equidispersion, the Negbin I-type model and the stationarity. The GMM estimators are constructed incorporating the additional moment conditions. Some Monte Carlo experiments indicate that the GMM estimators incorporating the additional moment conditions perform well, compared to that using only the conventional moment conditions proposed by [2,3].
KeywordsCount Panel DataLinear Feedback ModelMoment ConditionsGMMMonte Carlo Experiments
R. Blundell, R. Griffith and F. Windmeijer, “Individual Effects and Dynamics in Count Data Models,” Journal of Econometrics, Vol. 108, No. 1, 2002, pp. 113-131. http://dx.doi.org/10.1016/S0304-4076(01)00108-7
G. Chamberlain, “Comment: Sequential Moment Restrictions in Panel Data,” Journal of Business and Economic Statistics, Vol. 10, No. 1, 1992, pp. 20-26. http://dx.doi.org/10.1080/07350015.1992.10509881
J. M. Wooldridge, “Multiplicative Panel Data Models without the Strict Exogeneity Assumption,” Econometric Theory, Vol. 13, No. 5, 1997, pp. 667-678. http://dx.doi.org/10.1017/S0266466600006125
J. A. Hausman, B. H. Hall and Z. Griliches, “Econometric Models for Count Data with an Application to the PatentR&D Relationship,” Econometrica, Vol. 52, No. 4, 1984, pp. 909-938. http://dx.doi.org/10.2307/1911191
B. H. Hall, Z. Griliches and J. A. Hausman, “Patents and R and D: Is There a Lag?” International Economic Review, Vol. 27, No. 2, 1986, pp. 265-283. http://dx.doi.org/10.2307/2526504
L. P. Hansen, “Large Sample Properties of Generalized Method of Moments Estimators,” Econometrica, Vol. 50, No. 4, 1982, pp. 1029-1054. http://dx.doi.org/10.2307/1912775
B. Crépon and E. Duguet, “Estimating the Innovation Function from Patent Numbers: GMM on Count Panel Data,” Journal of Applied Econometrics, Vol. 12, No. 3, 1997, pp. 243-263. http://dx.doi.org/10.1002/(SICI)1099-1255(199705)12:3 3.0.CO;2-4
J. G. Montalvo, “GMM Estimation of Count-Panel-Data Models with Fixed Effects and Predetermined Instruments,” Journal of Business and Economic Statistics, Vol. 15, No. 1, 1997, pp. 82-89. http://dx.doi.org/10.1080/07350015.1997.10524690
J. Kim and G. Marschke, “Labor Mobility of Scientists, Technological Diffusion and the Firm’s Patenting Decision,” The RAND Journal of Economics, Vol. 36, No. 2, 2005, pp. 298-317.
R. Blundell, R. Griffith and J. Van Reenen, “Market Share, Market Value and Innovation in a Panel of British Manufacturing Firms,” Review of Economic Studies, Vol. 66, No. 3, 1999, pp. 529-554. http://dx.doi.org/10.1111/1467-937X.00097
R. Blundell, R. Griffith and J. Van Reenen, “Dynamic Count Data Models of Technological Innovation,” Economic Journal, Vol. 105, No. 429, 1995, pp. 333-344. http://dx.doi.org/10.2307/2235494
M. A. Al-Osh and A. A. Alzaid, “First-Order Integer-Valued Autoregressive (INAR(1)) Process,” Journal of Time Series Analysis, Vol. 8, No. 3, 1987, pp. 261-275. http://dx.doi.org/10.1111/j.1467-9892.1987.tb00438.x
E. McKenzie, “Some ARMA Models for Dependent Sequences of Poisson Counts,” Advances in Applied Probability, Vol. 20, No. 4, 1988, pp. 822-835. http://dx.doi.org/10.2307/1427362
A. A. Alzaid and M. A. Al-Osh, “An Integer-Valued pthOrder Autoregressive Structure (INAR(p)) Process,” Journal of Applied Probability, Vol. 27, No. 2, 1990, pp. 314324. http://dx.doi.org/10.2307/3214650
D. Jin-Guan and L. Yuan, “The Integer-Valued Autoregressive (INAR(p)) Model,” Journal of Time Series Analysis, Vol. 12, No. 2, 1991, pp. 129-142. http://dx.doi.org/10.1111/j.1467-9892.1991.tb00073.x
M. Cincera, “Patents, R&D, and Technological Spillovers at the Firm Level: Some Evidence from Econometric Count Models for Panel Data,” Journal of Applied Econometrics, Vol. 12, No. 3, 1997, pp. 265-280. http://dx.doi.org/10.1002/(SICI)1099-1255(199705)12:3 3.0.CO;2-J
R. M. Salomon and J. M. Shaver, “Learning by Exporting: New Insights from Examining Firm Innovation,” Journal of Economics and Management Strategy, Vol. 14, No. 2, 2005, pp. 431-460. http://dx.doi.org/10.1111/j.1530-9134.2005.00047.x
Y. Uchida and P. Cook, “Innovation and Market Structure in the Manufacturing Sector: An Application of Linear Feedback Models,” Oxford Bulletin of Economics and Statistics, Vol. 69, No. 4, 2007, pp. 557-580. http://dx.doi.org/10.1111/j.1468-0084.2007.00450.x
M. Abdelmoula and G. Bresson, “Spatial and Technological Spillovers in European Patenting Activities: A Dynamic Count Panel Data Model,” Annales d’économie et de Statistique, No. 87/88, 2008, pp. 167-194.
S. Gurmu and F. Pérez-Sebastián, “Patents, R&D and Lag Effects: Evidence from Flexible Methods for Count Panel Data on Manufacturing Firms,” Empirical Economics, Vol. 35, No. 3, 2008, pp. 507-526. http://dx.doi.org/10.1007/s00181-007-0176-8
A. Lucena, “The Organizational Designs of R&D Activities and Their Performance Implications: Empirical Evidence for Spain,” Industry and Innovation, Vol. 18, No. 2, 2011, pp. 151-176. http://dx.doi.org/10.1080/13662716.2011.541103
E. P. Gallié and D. Legros, “Firms’ Human Capital, R&D and Innovation: A Study on French Firms,” Empirical Economics, Vol. 43, No. 2, 2012, pp. 581-596. http://dx.doi.org/10.1007/s00181-011-0506-8
S. C. Ahn, “Three Essays on Share Contracts, Labor Supply, and the Estimation of Models for Dynamic Panel Data,” Unpublished Ph.D. Dissertation, Michigan State University, East Lansing, 1990.
S. C. Ahn and P. Schmidt, “Efficient Estimation of Models for Dynamic Panel Data,” Journal of Econometrics, Vol. 68, No. 1, 1995, pp. 5-27. http://dx.doi.org/10.1016/0304-4076(94)01641-C
D. Holtz-Eakin, W. Newey and H. S. Rosen, “Estimating Vector Autoregressions with Panel Data,” Econometrica, Vol. 56, No. 6, 1988, pp. 1371-1395. http://dx.doi.org/10.2307/1913103
M. Arellano and S. Bond, “Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations,” Review of Economic Studies, Vol. 58, No. 2, 1991, pp. 277-297. http://dx.doi.org/10.2307/2297968
R. Winkelmann, “Econometric Analysis of Count Data, 5th Edition,” Springer, Berlin, Heidelberg, 2008.
M. Arellano and O. Bover, “Another Look at the Instrumental Variables Estimation of Error-Components Models,” Journal of Econometrics, Vol. 68, No. 1, 1995, pp. 29-51. http://dx.doi.org/10.1016/0304-4076(94)01642-D
R. Blundell and S. Bond, “Initial Conditions and Moment Restrictions in Dynamic Panel Data Models,” Journal of Econometrics, Vol. 87, No. 1, 1998, pp. 115-143. http://dx.doi.org/10.1016/S0304-4076(98)00009-8
F. Windmeijer, “Moment Conditions for Fixed Effects Count Data Models with Endogenous Regressors,” Economics Letters, Vol. 68, No. 1, 2000, pp. 21-24. http://dx.doi.org/10.1016/S0165-1765(00)00228-7
S. C. Ahn and P. Schmidt, “Efficient Estimation of Dynamic Panel Data Models: Alternative Assumptions and Simplified Estimation,” Journal of Econometrics, Vol. 76, No. 1-2, 1997, pp. 309-321. http://dx.doi.org/10.1016/0304-4076(95)01793-3
V. Verdier, “Fixed Effects Estimation of Panel Data Models with Sequential Exogeneity,” Michigan State University, Mimeo, 2013 (Paper Presented at the 2013 Econometric Society Australasian Meeting, University of Sydney, Australia). As of September 2013, http://econ.msu.edu/seminars/docs/FE_SequentialExogeneity.pdf
F. Windmeijer, “ExpEnd, A Gauss Programme for NonLinear GMM Estimation of Exponential Models with Endogenous Regressors for Cross Section and Panel Data,” The Institute for Fiscal Studies, Department of Economics, UCL, Cemmap Working Paper, 2002, CWP 14/02. As of September 2013, http://www.cemmap.ac.uk/wps/cwp0214.pdf
F. Windmeijer, “GMM for Panel Count Data Models,” In: L. Mátyás and P. Sevestre, Eds., The Econometrics of Panel Data. Fundamentals and Recent Developments in Theory and Practice, 3rd Edition, Springer, Berlin, Heidelberg, 2008, pp. 603-624. http://dx.doi.org/10.1007/978-3-540-75892-1_18
B. H. Hall and C. Cummins, “TSP 5.0 User’s Guide,” TSP International, 2006.
J. Bound, D. A. Jaeger and R. M. Baker, “Problems with Instrumental Variables Estimation when the Correlation between the Instruments and the Endogenous Explanatory Variable is Weak,” Journal of the American Statistical Association, Vol. 90, No. 430, 1995, pp. 443-450. http://dx.doi.org/10.1080/01621459.1995.10476536
D. Staiger and J. H. Stock, “Instrumental Variables Regression with Weak Instruments,” Econometrica, Vol. 65, No. 3, 1997, pp. 557-586. http://dx.doi.org/10.2307/2171753
Y. Kitazawa, “Exponential Regression of Dynamic Panel Data Models,” Economics Letters, Vol. 73, No. 1, 2001, pp. 7-13. http://dx.doi.org/10.1016/S0165-1765(01)00467-0
J. M. Wooldridge, “Distribution-Free Estimation of Some Nonlinear Panel Data Models,” Journal of Econometrics, Vol. 90, No. 1, 1999, pp. 77-97. http://dx.doi.org/10.1016/S0304-4076(98)00033-5