Relevant bibliographies by topics / Arellano- Bond estimator

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Academic literature on the topic 'Arellano- Bond estimator'

Author: Grafiati
Published: 4 June 2021
Last updated: 16 February 2022

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Journal articles on the topic "Arellano- Bond estimator"

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Kruiniger, Hugo. "GMM ESTIMATION AND INFERENCE IN DYNAMIC PANEL DATA MODELS WITH PERSISTENT DATA." Econometric Theory 25, no. 5 (October 2009): 1348–91. http://dx.doi.org/10.1017/s0266466608090531.

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In this paper we consider generalized method of moments–based (GMM-based) estimation and inference for the panel AR(1) model when the data are persistent and the time dimension of the panel is fixed. We find that the nature of the weak instruments problem of the Arellano–Bond (Arellano and Bond, 1991,Review of Economic Studies58, 277–297) estimator depends on the distributional properties of the initial observations. Subsequently, we derive local asymptotic approximations to the finite-sample distributions of the Arellano–Bond estimator and the System estimator, respectively, under a variety of distributional assumptions about the initial observations and discuss the implications of the results we obtain for doing inference. We also propose two Lagrange multiplier–type (LM-type) panel unit root tests.
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Shina, Arya Fendha Ibnu. "ESTIMASI PARAMETER PADA SISTEM MODEL PERSAMAAN SIMULTAN DATA PANEL DINAMIS DENGAN METODE 2 SLS GMM-AB." MEDIA STATISTIKA 11, no. 2 (December 30, 2018): 79–91. http://dx.doi.org/10.14710/medstat.11.2.79-91.

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Single equation models ignore interdependencies or two-way relationships between response variables. The simultaneous equation model accommodates this two-way relationship form. Two Stage Least Square Generalized Methods of Moment Arellano and Bond (2 SLS GMM-AB) is used to estimate the parameters in the simultaneous system model of dynamic panel data if each structural equation is exactly identified or over identified. In the simultaneous equation system model with dynamic panel data, each structural equation and reduced form is a dynamic panel data regression equation. Estimation of structural equations and reduced form using Ordinary Least Square (OLS) resulted biased and inconsistent estimators. Arellano and Bond GMM method (GMM AB) estimator produces unbiased, consistent, and efficient estimators.The purpose of this paper is to explain the steps of 2 SLS GMM-AB method to estimate parameter in simultaneous equation model with dynamic panel data. Keywords:2 SLS GMM-AB, Arellano and Bond estimator, Dynamic Panel Data, Simultaneous Equations
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Sebki, Wafa. "Education and Economic Growth in Developing Countries: Empirical Evidence from GMM Estimators for Dynamic Panel Data." Economics and Business 35, no. 1 (February 1, 2021): 14–29. http://dx.doi.org/10.2478/eb-2021-0002.

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Abstract The paper aims at studying the effect of education measured by enrolment ratios in secondary and higher education on economic growth measured by the rate of GDP growth in a sample of 40 developing countries during the period from 2002 to 2016 using the dynamic panel data estimators. The results of estimating the model of this study using the difference GMM estimator or what is known as the Arellano and Bond estimator showed that the proportions of those enrolled in tertiary education had a significant positive effect on economic growth, while the proportions of those enrolled in secondary education had a significant negative effect.
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Ehizuelen, Michael Mitchell Omoruyi. "China's Infrastructure Financing and the Role of Infrastructure in Awakening African Economies." Journal of Comparative Asian Development 18, no. 2 (July 2021): 1–25. http://dx.doi.org/10.4018/jcad.20210701.oa2.

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African economies, through Agenda 2063, recognize that developing infrastructure – transport, electricity, energy, water, and e-connectivity – will be critical for the region to assume a lasting place in the global economic system. As a result, this paper addresses the continent’s infrastructure gap and provides an important insight into the rapidly growing presence of China’s official infrastructure financing in Africa as well as the distinctive character of its involvement. In addition, the paper provides an empirical evaluation of the role of infrastructure in awakening African economies. The generalized-method-of-moments (GMM) estimator for dynamic models of panel data developed by Arellano and Bond (1991), and Arellano and Bover (1995) was employed to estimate an infrastructure-increased growth model.
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Mickiewicz, Tomasz, Kate Bishop, and Urmas Varblane. "Financial Constraints in Investment. Panel Data Results From Estonia, 1995-1999." Acta Oeconomica 54, no. 4 (December 1, 2004): 425–49. http://dx.doi.org/10.1556/aoecon.54.2004.4.2.

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To investigate investment behaviour the present study applies panel data techniques, in particular the Arellano-Bond (1991) GMM estimator, based on data on Estonian manufacturing firms from the period 1995-1999. We employ the model of optimal capital accumulation in the presence of convex adjustment costs. The main research findings are that domestic companies seem to be financially more constrained than those where foreign investors are present, and also, smaller firms are more constrained than their larger counterparts.
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Višić, Josipa, and Blanka Škrabić Perić. "The determinants of value of incoming cross-border mergers & acquisitions in European transition countries." Communist and Post-Communist Studies 44, no. 3 (August 10, 2011): 173–82. http://dx.doi.org/10.1016/j.postcomstud.2011.07.004.

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This research aims to determine variables that affect the aggregate value of incoming cross-border M&As in European transitional countries. Dynamic panel models have been estimated using Arellano and Bond GMM estimator for period between year 1994 and 2008. The ratio of the total value of cross-border M&A to GDP of the country is the dependent variable. Independent variables include following indicators: lagged value of cross-border M&A to GDP, lagged GDP per capita, lagged GDP growth, inflation, interest rate spread, lagged private credit to GDP ratio, market capitalization to GDP ratio, lagged rule of law and lagged control of corruption.
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Cheng, Ningning, and Youngsok Bang. "A Comment on the Practice of the Arellano-Bond/Blundell-Bond Generalized Method of Moments Estimator in IS Research." Communications of the Association for Information Systems 48, no. 1 (2021): 423–42. http://dx.doi.org/10.17705/1cais.04838.

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Mazhar, Ummad. "Does regulatory discretion increase the unofficial economy? Evidence from panel data." Acta Oeconomica 65, no. 1 (March 1, 2015): 129–41. http://dx.doi.org/10.1556/aoecon.65.2015.1.7.

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One factor that contributes in the size of the shadow economy is the regulation of business activities. This paper provides empirical analysis of the effects of regulatory discretion on the unofficial economy. It adds to the previous findings by gathering evidence from a large data set of 162 countries for the 1999 to 2007 period. Going beyond simple correlation, it uses the Arellano-Bond estimator to investigate the dynamics and causal effects of regulation on the shadow economy. We find that increase in regulation increases the size of the shadow economy.
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Miao, Ruiqing. "Impact of Ethanol Plants on Local Land Use Change." Agricultural and Resource Economics Review 42, no. 2 (August 2013): 291–309. http://dx.doi.org/10.1017/s106828050000438x.

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We investigate effects of corn-based ethanol plants on local land uses using county-level panel data for Iowa for 1997 through 2009 and an Arellano-Bond difference-generalized method-of-moments estimator. Our results show that ethanol plants have statistically significant effects on the proportion of acres planted to corn in the plants’ host counties. Furthermore, ceteris paribus, the land-use-change effect of locally owned plants (owned by local farmers or cooperatives) is about twice as large as the effect of plants with nonlocal owners. We also explore implications for the environment of ethanol plants and the changes in land use that they induce.
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BALIAMOUNE-LUTZ, MINA. "DO INSTITUTIONS AND SOCIAL COHESION ENHANCE THE EFFECTIVENESS OF AID? NEW EVIDENCE FROM AFRICA." Journal of International Commerce, Economics and Policy 03, no. 01 (February 2012): 1240003. http://dx.doi.org/10.1142/s1793993312400030.

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This paper explores the effects of aid, institutions, and social cohesion on per capita income growth in 34 African countries using the Arellano-Bond dynamic panel GMM estimator. The paper focuses on the interplay of aid and institutions and the interplay of aid and social cohesion. The empirical results indicate that social cohesion enhances the growth effects of aid but there is a threshold effect, suggesting that aid becomes effective in enhancing growth in countries with higher social cohesion. Surprisingly, the results show that beyond a certain level of improvements in institutional quality, institutions (political rights and civil liberties) reduce the effectiveness of aid.
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Dissertations / Theses on the topic "Arellano- Bond estimator"

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Akbiyik, Ceren. "Cross Country Evidence On Financial Development- Income Inequality Link." Master's thesis, METU, 2012. http://etd.lib.metu.edu.tr/upload/12614851/index.pdf.

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This study analyzes the relationship between financial development and income inequality by using panel data of 60 developing and developed countries for the period 2000-2010. We find evidence for the linear negative relationship between financial development and income inequality which asserts that financial development reduces income inequality. We also find evidence supporting Kuznets inverted u-shaped hypothesis on development-income inequality link, except that for the developed countries where we find evidence for u-shaped hypothesis. It is also concluded that the panel is stationary without unit root, indicating that shocks on income inequality is not persistent.
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Evaldsson, Matilda. "Has EMU Led to Higher Debt Levels? : -A Dynamic Panel Data Estimation." Thesis, KTH, Industriell ekonomi och organisation (Inst.), 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-120396.

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Europe is in the midst of its deepest crisis since the 1930s where unsustainable debt-to-GDP levels are among the most alarming issues. It is so critical that it is unsure if the Euro can be saved. The risk of moral hazard increases within EMU when governments are taking too much risk in their public debt policies due to the anticipation that ECB or other Member States would eventually bail them out. Moreover, the SGP imposes restrictions on government deficits and debts but have previously failed to enforce them. The weakness seen in the past is that no sanctions have been put in place once the limits have been breached and the SGP is therefore incredible. Previous research on common pool and debt spillovers in a monetary union point to an upward drift of public debt as countries join the EMU. Does this argument hold true? In order to find out, 25 OECD countries between the years of 1995 and 2010 are analyzed using System GMM Arellano-Bover/Blundell-Bond one-step estimator. The primary balance, the interest payments, and GDP growth are regressed respectively in order to see through what channel EMU displays its effect. One regression will cover the entire time period and another will only cover the years from 1995 to 2007 in order to isolate the effects of the current crisis. The results, based on the years over the entire time period (including the crisis) suggest that the effect of an EMU Membership goes via the Interest payments which it is connected to positively. By using the equation of debt dynamics, the fact that net debt interest payments are higher for a country within EMU indicates, all else equal, that they have on average higher levels of debt. Nevertheless, this realization might be a crisis phenomenon and the implication of this is not clear. However more importantly, the regressions based on the years of 1995 and 2007 (prior to the crisis) did not display any significant results. These results indicate that there is no significant relationship between a country’s membership in EMU and its level of debt prior to the crisis.
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Kekec, Ibrahim. "The Relationship Between Foreign Direct Investment And The Macro Economy." Thesis, University of North Texas, 2011. https://digital.library.unt.edu/ark:/67531/metadc103343/.

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In this thesis, I first investigate the relation between the aggregate unemployment rate and foreign direct investment (FDI) inflows and outflows. To study this relationship, I use a panel data set that contains 45 (developed and developing) countries observed from 1987 through 2008, and I employ Arellano and Bonds generalized methods of moments (ABGMM) estimation method for dynamic panel data. My results show that FDI inflows and outflows are not determinants of the aggregate unemployment rate. In addition, in line with macroeconomic theory, the previous level of aggregate unemployment has a positive impact on the current level of aggregate unemployment. Again, as macroeconomic theory suggests, my results show that per capita real gross domestic product (RGDP) has a negative effect on the current level of aggregate unemployment. Second, I study the long-run relationship between exports and per capita gross domestic product (instrumented by total population) using a panel data set of 51 countries from 1970 through 2008. To study this relationship, I employ the dynamic ordinary least squares (DOLS) estimation method. I find that the percentage of exports in nominal gross domestic products (GDP) is sensitive to changes in the populations of host countries and, hence, to the changes in their GDP. In addition, my results show that the agreement on trade related investment measures increased the percentage of exports in the nominal GDP of developed host countries more than it did in developing host countries.
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Vildová, Romana. "Jak konkurence mezi bankami ovlivňuje finanční stabilitu." Master's thesis, 2017. http://www.nusl.cz/ntk/nusl-267729.

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How Bank Competition Influences Financial Stability Abstract This paper investigates the link between financial stability and bank competition by means of the Arellano & Bond (1991) GMM model using annual panel data over the period 2000 - 2014 for 205 countries. Our data source is a new, richer and updated dataset The Global Financial Development Database available at World Bank. Due to the specifics of this dataset we are able to use new combinations of measures of financial stability and of bank competition and to study their relationship in greater depth. We find a positive link between financial stability and bank competition. Furthermore, our results provide evidence that it matters what measures of financial stability and bank competition we apply. Lastly, we ascertain that the relationship between financial stability and bank competition does not change over time. Keywords Financial Stability, Bank Competition, Dynamic GMM, the Arellano and Bond Estimator Author's e-mail VildovaRomana@gmail.com Supervisor's e-mail Roman.Horvath@gmail.com
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Santos, Andreia Patrícia Ferreira Dias dos. "The impact of the income inequality on the sovereign credit risk: A panel approach for 26 European countries during 2005-2010." Master's thesis, 2014. http://hdl.handle.net/10071/8445.

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The aftermath of the financial crisis that had its beginning in 2007 has put to the fore the increase of the public debt in OECD countries. Global economic recessions and public bailouts of banks have resulted in a significant concern about the sovereign default risk mainly on the Eurozone countries facing structural economic imbalances. Using Credit Default Swaps (CDS) as a measure of sovereign credit risk, the purpose of this study is to analyze the link between sovereign default risk and income inequality for a broad panel of 26 European countries over the years 2005 to 2010. Applying the System GMM techniques the findings support the hypothesis that income inequality is a significant predictor of the sovereign credit risk. The empirical results also show that income inequality has more impact on the dynamics of the CDS spreads in times of economic downturns.
A recente crise financeira que teve origem no início de 2007 expôs o aumento da dívida pública em alguns países da OCDE. Os desequilíbrios macroeconómicos e a vulnerabilidade do sistema financeiro global estão associados ao risco de falência soberano principalmente nos países da Zona Euro desprovidos de mecanismos autónomos de política monetária. O objetivo deste estudo é analisar a relação existente entre o risco de falência soberano medido através dos spreads dos CDS e a desigualdade de rendimento para um painel de 26 países Europeus ao longo do período de 2005 a 2010. Utilizando o estimador GMM-System como metodologia econométrica, os resultados do trabalho empírico suportam a hipótese de partida de que a desigualdade de rendimento constitui um importante determinante no risco de crédito soberano. Como principal evidência empírica a retirar deste estudo, sublinha-se que a desigualdade de rendimento tem maior impacto na dinâmica dos CDS em períodos de recessão económica.
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Books on the topic "Arellano- Bond estimator"

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Karakoç, Ekrem. Cross-National Test of the Theory. Oxford University Press, 2018. http://dx.doi.org/10.1093/oso/9780198826927.003.0003.

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The previous chapter posed the primary research question and offered a new theory that encompassed two interrelated arguments. This chapter produces three hypotheses derived from the new theory offered in Chapter 2. Chapter 3 tests these arguments in a large-N study using multivariate statistical analysis. The first section discusses the operationalization of our main dependent and independent variables. It will also briefly outline a set of control variables and what the literature predicts regarding their effect on spending and inequality. These factors range from economic factors (globalization, inflation, female labor participation, economic development), political factors (partisanship, electoral systems, election cycle), and demographic factors. To correct for problems associated with the nature of panel data models, such as endogeneity, heteroskedasticity, and autocorrelation, it uses the Arellano-Bond estimation, which uses the Generalized Method of Moments. The rest of the chapter presents the results and offers its interpretation and conclusion.
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Book chapters on the topic "Arellano- Bond estimator"

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Zhang, Yonghui, and Qiankun Zhou. "Correction for the Asymptotical Bias of the Arellano-Bond type GMM Estimation of Dynamic Panel Models." In Essays in Honor of Cheng Hsiao, 1–24. Emerald Publishing Limited, 2020. http://dx.doi.org/10.1108/s0731-905320200000041001.

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Conference papers on the topic "Arellano- Bond estimator"

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Szarowská, Irena. "Impact of public R&D expenditure on economic growth in selected EU countries." In Business and Management 2016. VGTU Technika, 2016. http://dx.doi.org/10.3846/bm.2016.16.

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The aim of the paper is to investigate influence of research and development (R&D) expenditure on economic growth in 20 selected EU member states in the period 1995-2013, time span is also divided into a pre-crisis and a post-crisis period. Basic source of data is Eurostat database.The research is based on a dynamic panel regression model (GMM) and estimations are based on Arellan-Bond estimator (1991). Results confirm positive and statistically significant impact of government R&D expenditure, which is the main driver for economic growth during the analysed period. Importance and positive impact of higher education R&D expenditure increases in the post-crisis period. Contrary, business expenditure is found to be insignificant. Traditional growth variables (a higher share of qualified human resources and a higher intensity of investment) report positive effect, although investment only partly.
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