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Academic literature on the topic 'Bond Generalized Method of Moments System estimator'
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Journal articles on the topic "Bond Generalized Method of Moments System 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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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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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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Dykas, Paweł, Tomasz Misiak, and Tomasz Tokarski. "Determinants of spatial differentiation of labour markets in Ukraine." Przegląd Statystyczny 67, no. 1 (August 18, 2020): 33–50. http://dx.doi.org/10.5604/01.3001.0014.1783.
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The aim of this paper is to present the differentiation of the situation in regional labour markets in Ukraine in the years 2004–2017. The analyses carried out for this purpose concern the diversity and dynamics of macroeconomic variables, such as labour productivity (measured by GDP per worker), wages, and unemployment rates. Moreover, using panel data from the Statistical Office of Ukraine, the authors estimate the parameters of a set of equations based on increments and levels by means of the system estimator of the generalized Blundell and Bond moments method from 1998. The estimates concern the parameters of equations describing the main determinants of the increase in unemployment rates and wages for the entire Ukrainian economy – both Left – and Right-Bank Ukraine.
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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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Karim, Sitara. "Do women on corporate boardrooms influence remuneration patterns and socially responsible practices? Malaysian evidence." Equality, Diversity and Inclusion: An International Journal 40, no. 5 (January 15, 2021): 559–76. http://dx.doi.org/10.1108/edi-07-2020-0213.
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PurposeThe prime objective of this study is to investigate the moderating influence of executive and independent female directors on the relationship between remuneration packages (CEO and executive director) and socially responsible practices (marketplace, environment, community, workplace and money spent on CSR) of 483 Malaysian listed firms during 2006–2017.Design/methodology/approachThe dynamic estimator, namely, system generalized method of moments (GMM) given by Blundell and Bond (1998) has been employed on the dataset to control dynamic endogeneity, unobserved heterogeneity and simultaneity problems.FindingsFindings indicate that there is a significant relationship between remuneration patterns of CEOs and executive directors and socially responsible activities. In the same way, executive board gender diversity significantly, whereas independent board gender diversity insignificantly moderates the remuneration and CSR nexus.Practical implicationsThis study is particularly significant for regulatory bodies of Malaysia, e.g. Securities Commission Malaysia, Bursa Malaysia, policy makers, investors and managers. For academia, this study fetches support from agency theory, stakeholder theory and upper echelons theory and presents integrated theoretical approach to be considered for future research.Originality/valueThis paper is unique in providing empirical evidence on the moderating effect of both executive and independent women directors on the relationship between remuneration patterns of CEOs and executive directors and independent CSR activities for the first time. Moreover, this study has sourced several theoretical and practical implications. And, the study employs dynamic estimator for precise and concrete results.
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Ezeoha, Abel, and Ferdi Botha. "Firm age, collateral value, and access to debt financing in an emerging economy: evidence from South Africa." South African Journal of Economic and Management Sciences 15, no. 1 (March 16, 2012): 72–93. http://dx.doi.org/10.4102/sajems.v15i1.138.
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This paper applies the Blundell and Bond system generalised method of moments (GMM) two-step estimator to examine the impact of age and collateral value on debt financing, using a panel of 177 non-financial companies listed on the Johannesburg Stock Exchange over the period 1999 to 2009. The results show that South African firms have target leverage ratios and adjust their capital structures from time to time to achieve their respective targets, that the relationship between firm age and debt financing is non-monotonic, and that firms with higher collateral value are likely to face fewer constraints on borrowing and therefore have greater access to medium-term and long-term debts. Robustness tests also reveal that during start-up and maturity stages, a firm’s access to debt markets is significantly influenced by investments in assets that are acceptable to external creditors as collateral. These findings suggest that debt financing policies could be more critical for firms in the start-up and maturity stages.
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Jia, Shaomeng. "Foreign aid: boosting or hindering entrepreneurship?" Journal of Entrepreneurship and Public Policy 7, no. 3 (September 3, 2018): 248–68. http://dx.doi.org/10.1108/jepp-d-18-00031.
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Purpose The current literature has not made any connection between foreign aid and entrepreneurship. The purpose of this paper is to investigate if foreign aid influences entrepreneurial activities in a recipient country. Design/methodology/approach Using system generalized method of moments (Blundell and Bond, 1998) estimators with a panel of 38 recipient countries during 2005–2014, the author tests for 33 measures of entrepreneurial activities. Findings This paper finds that aggregate aid tends to only boost necessity-driven early-stage entrepreneurship and benefit low-income entrepreneurs. Aid to infrastructure promotes entrepreneurship driven by both opportunity and necessity motivations. It also incentivizes competition with homogeneous products. Additionally, evidence suggests that both aggregate aid and infrastructural aid discourage adoption of state-of-the-art technologies, raise business failure rate and are associated more with necessity-driven early-stage entrepreneurial activities for females. Originality/value This is the first research examining “aid and entrepreneurship” relation.
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Abogun, Segun, Ezekiel Aiyenijo Adigbole, and Titilope Esther Olorede. "Income smoothing and firm value in a regulated market: the moderating effect of market risk." Asian Journal of Accounting Research 6, no. 3 (February 18, 2021): 296–308. http://dx.doi.org/10.1108/ajar-08-2020-0072.
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PurposeThis study aims to examine the impact of income smoothing on the value of firms in a regulated security market, moderated by market risk. This is based on the prevalence of accounting scandals resulting in the collapse of firms which has been attributed to the opportunistic behaviors of managers.Design/methodology/approachThe ex post facto research design was employed, and as such, data were gathered from secondary sources. The quantitative approach was also used in the study. Furthermore, the system generalized method of moments (Blundell–Bond) panel estimation technique was used for analyzing the data. Income smoothing was measured using the accrual based methods, while firm value was measured using share price.FindingsThe study found that income smoothing has a negative significant impact on firm value. The study also revealed that market risk is a significant variable that defines the relationship between income smoothing and firm value.Originality/valueTesting the moderating effect of market risk on the relationship between income smoothing and firm value is unique to this study, particularly from a regulated security market and emerging economy.
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Post, Lori, Michael J. Boctor, Tariq Z. Issa, Charles B. Moss, Robert Leo Murphy, Chad J. Achenbach, Michael G. Ison, et al. "SARS-CoV-2 Surveillance System in Canada: Longitudinal Trend Analysis." JMIR Public Health and Surveillance 7, no. 5 (May 10, 2021): e25753. http://dx.doi.org/10.2196/25753.
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Background The COVID-19 global pandemic has disrupted structures and communities across the globe. Numerous regions of the world have had varying responses in their attempts to contain the spread of the virus. Factors such as public health policies, governance, and sociopolitical climate have led to differential levels of success at controlling the spread of SARS-CoV-2. Ultimately, a more advanced surveillance metric for COVID-19 transmission is necessary to help government systems and national leaders understand which responses have been effective and gauge where outbreaks occur. Objective The goal of this study is to provide advanced COVID-19 surveillance metrics for Canada at the country, province, and territory level that account for shifts in the pandemic including speed, acceleration, jerk, and persistence. Enhanced surveillance identifies risks for explosive growth and regions that have controlled outbreaks successfully. Methods Using a longitudinal trend analysis study design, we extracted 62 days of COVID-19 data from Canadian public health registries for 13 provinces and territories. We used an empirical difference equation to measure the daily number of cases in Canada as a function of the prior number of cases, the level of testing, and weekly shift variables based on a dynamic panel model that was estimated using the generalized method of moments approach by implementing the Arellano-Bond estimator in R. Results We compare the week of February 7-13, 2021, with the week of February 14-20, 2021. Canada, as a whole, had a decrease in speed from 8.4 daily new cases per 100,000 population to 7.5 daily new cases per 100,000 population. The persistence of new cases during the week of February 14-20 reported 7.5 cases that are a result of COVID-19 transmissions 7 days earlier. The two most populous provinces of Ontario and Quebec both experienced decreases in speed from 7.9 and 11.5 daily new cases per 100,000 population for the week of February 7-13 to speeds of 6.9 and 9.3 for the week of February 14-20, respectively. Nunavut experienced a significant increase in speed during this time, from 3.3 daily new cases per 100,000 population to 10.9 daily new cases per 100,000 population. Conclusions Canada excelled at COVID-19 control early on in the pandemic, especially during the first COVID-19 shutdown. The second wave at the end of 2020 resulted in a resurgence of the outbreak, which has since been controlled. Enhanced surveillance identifies outbreaks and where there is the potential for explosive growth, which informs proactive health policy.
Dissertations / Theses on the topic "Bond Generalized Method of Moments System estimator"
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Naylor, Guilherme Lima. "O impacto das instituições na renda dos países : uma abordagem dinâmica para dados em painel." Master's thesis, Instituto Superior de Economia e Gestão, 2021. http://hdl.handle.net/10400.5/21704.
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Mestrado em Econometria Aplicada e PrevisãoAs diferenças nos níveis de renda entre os países vêm sendo estudadas há muito tempo na economia. O capital humano, a produtividade, as instituições e outros fatores foram tidos como determinantes para as discrepâncias verificadas. Este trabalho segue a linha institucionalista ao procurar medir e relacionar o modo como as instituições impactam o nível de renda dos países.Primeiro, faz-se necessário rever brevemente a literatura sobre os modelos de crescimento econômico. Posteriormente, delimita-se o conceito de instituição e descreve-se seu processo de evolução ao longo do tempo. Esse preâmbulo é importante, pois fornece base teórica para os modelos econométricos estimados, que visam a medir os efeitos de diferentes características das instituições sobre o nível de renda dos países. O método escolhido para a análise é a estimação de modelos dinâmicos, por meio da abordagem do estimador do Método dos Momentos Generalizados de Sistema de Blundell e Bond.
Differences in income levels between countries have long been studied in economics. Human capital, productivity, institutions and other factors were taken as determinants for the discrepancies found. This work follows the institutionalist line in seeking to measure and relate how institutions impact the income level of countries.First, it is necessary to briefly review the literature on economic growth models. Subsequently, the concept of institution is delimited and its evolution process over time is descripted. This preamble is important because it provides a theoretical basis for the estimated econometric models, which aim to measure the effects of different characteristics of institutions on the income level of countries. The method chosen for the analysis is the estimation of dynamic models, using the Blundell & Bond Generalized Method of Moments System estimator approach.
info:eu-repo/semantics/publishedVersion
Books on the topic "Bond Generalized Method of Moments System 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.