Dynamic Panel Data Models in Microeconomic and Macroeconomic Research

Barbara Dańska-Borsiak

doi:https://doi.org/10.59139/ps.2009.02.2

Barbara Dańska-Borsiak Uniwersytet Łódzki Przegląd Statystyczny. Statistical Review, vol. 56, 2009, 2, pages: 25-41 Published online: 30 June 2009 DOI https://doi.org/10.59139/ps.2009.02.2

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ARTICLE

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ABSTRACT

Econometric models based on panel data, in which the presence of unobservable, constant over time, group-specific effects is assumed are called panel data models. The constancy over time of the group effects causes some methodological complications in the case of dynamic models. In this paper the main ideas of the two methods, which are most often used for estimation of dynamic panel data models are presented. The methods are: first-differenced GMM and system GMM. The main goal of this paper is to present some examples of applications of dynamic panel data models in micro and macroeconomic analyses. Special interest is in showing the consequences of using different methods according to the type of data – macro or micro.

KEYWORDS

dynamic model, panel data, first differenced GMM, system GMM, estimation methods, the growth model, production model

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