Dynamic Panel Data Model Research Papers (original) (raw)

By 2014 Indonesia registered 11.6 million inbound foreign tourists, 135% higher than the year 2000. Since then, government policies to promote tourism flourished. This article investigates the determinants of inbound tourism from the top... more

By 2014 Indonesia registered 11.6 million inbound foreign tourists, 135% higher than the year 2000. Since then, government policies to promote tourism flourished. This article investigates the determinants of inbound tourism from the top nine mayor tourist origin countries into Indonesia covering the period of 2000 to 2014. This research employs a dynamic panel dataset to estimate the impact of per capita real income, relative prices, accommodation capacity, distance, and public infrastructure investment on international tourism demand in Indonesia, capturing demand- and supply-side effects. The results show that per capita income of tourists, relative price, and available rooms have a positive effect on tourism expenditure in Indonesia, while distance has a negative effect. Dummy variables capture large negative shocks in tourism arising from two terrorist attacks in 2002 and 2005, as well as from the global financial crisis in 2008. Income plays a positive but low impact on tourism demand compared to other nations. The positive effect of prices suggests an advantage of Indonesia in competitive tourism prices. Nevertheless, low prices also denote low value in tourism services. The substantial impact of accommodation may indicate that significant effects of tourism are allocated in lodging, minimizing the impact on other sectors

We investigate the impact of aggregate aid, earmarked aid, committed or disbursed, on social indicators in health and education. A literature review shows that for earmarked aid use of commitment data mostly leads to insignificant... more

We investigate the impact of aggregate aid, earmarked aid, committed or disbursed, on social indicators in health and education. A literature review shows that for earmarked aid use of commitment data mostly leads to insignificant results; use of disbursement data mostly leads to significantly favourable results; panel data models including lagged dependent variables lead to significantly favourable results for at

This paper investigates the determinants of bilateral immigrant flows to 19 OECD countries between 1998 and 2007 from both advanced and developing origin countries. We pay particular attention to dynamics by including both the lagged... more

This paper investigates the determinants of bilateral immigrant flows to 19 OECD countries between 1998 and 2007 from both advanced and developing origin countries. We pay particular attention to dynamics by including both the lagged migrant flow and the migrant stock to capture partial adjustment and network effects. To correct for the dynamic panel data bias of the fixed effects estimator we use a bootstrap algorithm. Our results indicate that immigrants are primarily attracted by better income opportunities and higher growth rates abroad. Also short-run increases in the host country’s employment rate positively affect migration from both advanced and developing countries. High public services, on the other hand, discourage migration from advanced countries but exert a pull on migration from developing sources, in line with the welfare state hypothesis. Finally, we find evidence for both partial adjustment and the presence of strong network effects. This confirms that both should ...

The financial literature claims that venture capita l (VC) financing spurs the growth of new technology -based firms (NTBFs). First, VC investors allegedly have s uperior scouting capabilities, so they provide grea t hidden value firms... more

The financial literature claims that venture capita l (VC) financing spurs the growth of new technology -based firms (NTBFs). First, VC investors allegedly have s uperior scouting capabilities, so they provide grea t hidden value firms with the financing they would ot herwise be unable to obtain. Second they also provi de monitoring and coaching services to portfolio compa nies. Third, VC financing has a "certification" eff ect, making easier for portfolio firms obtaining support from third parties. The aim of the paper is to tes t whether VC financing has a positive effect on the subsequen t growth of sales and employment of portfolio companies by taking into account the actual willingness of th e NTBF to receive equity financing. We consider a 1 0 year long longitudinal dataset composed of 215 Italian N TBFs, most of which are privately held. The sample includes both VC-backed and non VC-backed firms. In order to capture the effects of VC financing on th e subsequent gro...

The GMM estimator usually employed in the panel data literature, has an unbounded influence function. This means that the estimator is easily influenced by outliers in the data. This paper develops a variant of the GMM estimator that is... more

The GMM estimator usually employed in the panel data literature, has an unbounded influence function. This means that the estimator is easily influenced by outliers in the data. This paper develops a variant of the GMM estimator that is less sensitive to anomalous observations. Conditions for consistency and asymptotic normality of the robust estimator are presented. The robustness properties of

This article extends the common correlated effects pooled (CCEP) estimator to homogenous dynamic panels. In this setting, CCEP suffers from a large bias when the time span (T) of the dataset is fixed. We develop a bias-corrected CCEP... more

This article extends the common correlated effects pooled (CCEP) estimator to homogenous dynamic panels. In this setting, CCEP suffers from a large bias when the time span (T) of the dataset is fixed. We develop a bias-corrected CCEP estimator that is consistent as the number of cross-sectional units (N) tends to infinity, for T fixed or growing large, provided that the specification is augmented with a sufficient number of cross-sectional averages, and lags thereof. Monte Carlo experiments show that the correction offers strong improvements in terms of bias and variance. We apply our approach to estimate the dynamic impact of temperature shocks on aggregate output growth.

The role of cash-flow variables and uncertainty in capital accumulation is not necessarily robust to corporate restructuring and industrial dynamics. We propose a micro-econometric procedure to investigate the stability of investment... more

The role of cash-flow variables and uncertainty in capital accumulation is not necessarily robust to corporate restructuring and industrial dynamics. We propose a micro-econometric procedure to investigate the stability of investment behaviour. Applying system GMM methods on a panel data set for 253 oil and gas companies over 14 years, we estimate accelerator models of investment with error- correction, and

A large body of theoretical empirical research suggests that welfare spending reduces crime. Contrary to this dominant finding, a few recent studies conclude that there is no relationship between several measures of welfare spending and... more

A large body of theoretical empirical research suggests that welfare spending reduces crime. Contrary to this dominant finding, a few recent studies conclude that there is no relationship between several measures of welfare spending and crime. This paper contributes to the debate using data from the Unemployed Heads of Household Program (UHHP), the largest poverty alleviation program launched by the Argen-tinean government to cope with the deleterious effects of the 2002 crisis. Province-level dynamic panel data reveals that UHHP, featuring conditional cash transfers had a negative impact on crime, particularly on property crimes and its main categories, larceny and robbery. UHHP also diminished aggravated assault but had no influence on murder.

The objective of this paper is twofold: First, the applicability of a widely used dynamic model, the autoregressive distributed lag model (ARDL), is scrutinized in a panel data setting. Second, Chile’s development of market shares in the... more

The objective of this paper is twofold: First, the applicability of a widely used dynamic model, the autoregressive distributed lag model (ARDL), is scrutinized in a panel data setting. Second, Chile’s development of market shares in the EU market in the period of 1988 to 2002 is then analyzed in this dynamic framework, testing for the impact of price competitiveness

This paper hammers out the estimation of a fixed effects dynamic panel data model extended either to include spatial error autocorrelation or a spatially lagged dependent variable. To overcome the inconsistencies associated with the... more

This paper hammers out the estimation of a fixed effects dynamic panel data model extended either to include spatial error autocorrelation or a spatially lagged dependent variable. To overcome the inconsistencies associated with the traditional least squares dummy estimator, the models are first-differenced to eliminate the fixed effects and then the unconditional likelihood function is derived taking into account the

We investigate the impact of aggregate aid, earmarked aid, committed or disbursed, on social indicators in health and education. A literature review shows that for earmarked aid use of commitment data mostly leads to insignificant... more

We investigate the impact of aggregate aid, earmarked aid, committed or disbursed, on social indicators in health and education. A literature review shows that for earmarked aid use of commitment data mostly leads to insignificant results; use of disbursement data mostly leads to significantly favourable results; panel data models including lagged dependent variables lead to significantly favourable results for at least one form of aid unless only commitment data are used. In our own analysis of effects of aggregate aid per capita on life expectancy and literacy we find from detailed analysis of lag structures that the data for literacy and life expectancy in dynamic panel data models should be taken in the form of growth rates. Growth rates of aid per capita are shown to have significantly favourable effects on the growth rates life expectancy. Growth rates or levels of aid per capita may reduce growth rates of illiteracy in system GMM estimates.

The purpose of this paper is to empirically analyze the effects of political instability, social polarization and the quality of institutions on inflation volatility over time and across countries. Using the system-GMM estimator for... more

The purpose of this paper is to empirically analyze the effects of political instability, social polarization and the quality of institutions on inflation volatility over time and across countries. Using the system-GMM estimator for linear dynamic panel data models on a sample covering 160 countries, analyzed in the period from 1960 to 1999, this paper finds that higher degrees of political instability and social polarization, less democracy, and lower de facto central bank independence are associated with more volatile inflation rates. Furthermore, political instability has greater effects on inflation volatility in developing countries with lower degrees of central bank independence and economic freedom.

The objective of this paper is twofold: First, the applicability of a widely used dynamic model, the autoregressive distributed lag model (ARDL), is scrutinized in a panel data setting. Second, Chile’s development of market shares in the... more

The objective of this paper is twofold: First, the applicability of a widely used dynamic model, the autoregressive distributed lag model (ARDL), is scrutinized in a panel data setting. Second, Chile’s development of market shares in the EU market in the period of 1988 to 2002 is then analyzed in this dynamic framework, testing for the impact of price competitiveness

This paper proposes some new semiparametric instrumental variable estimators for estimating a dynamic panel data model. Monte Carlo experiments show that the new estimators perform much better than the estimators suggested by Li and... more

This paper proposes some new semiparametric instrumental variable estimators for estimating a dynamic panel data model. Monte Carlo experiments show that the new estimators perform much better than the estimators suggested by Li and Stengos (1996).

Workers ’ remittances represent a major source of private external finance for many developing countries. Moreover, these flows which have been on the upward trend in recent times are now widely regarded as important financial flows to... more

Workers ’ remittances represent a major source of private external finance for many developing countries. Moreover, these flows which have been on the upward trend in recent times are now widely regarded as important financial flows to many developing countries that receive them in large quantity. One major concern about remittances is that in countries receiving significant flows, the local currencies could appreciate artificially due to over-valuation; this might in turn be harmful to the overall trade balance and long-run economic growth of the receiving economies.This study investigates the possibility of this phenomenon in some selected Sub-Saharan African countries. The hypothesized link between workers ’ remittances and external trade balance was specified in a linear dynamic panel data model and estimated using the system Generalized Method of Moments.A major finding shows that remittance inflows have a contemporaneous negative but statistically insignificant impact on exter...

By 2014 Indonesia registered 11.6 million inbound foreign tourists, 135% higher than the year 2000. Since then, government policies to promote tourism flourished. This paper investigates the determinants of inbound tourism from the top... more

By 2014 Indonesia registered 11.6 million inbound foreign tourists, 135% higher than the year 2000. Since then, government policies to promote tourism flourished. This paper investigates the determinants of inbound tourism from the top nine mayor tourist origin countries into Indonesia covering the period of 2000 to 2014. This research employs a dynamic panel dataset to estimate the impact of per capita real income, relative prices, accommodation capacity, distance and public infrastructure investment on international tourism demand in Indonesia, capturing demand and supply-side effects. The results show that per capita income of tourist, relative price, and available rooms have a positive effect on tourism expenditure in Indonesia, while distance has a negative effect. Dummy variables capture large negative shocks in tourism arising from two terrorist attacks in 2002 and 2005, as well as from the global financial crisis in 2008. Income plays a positive but low impact on tourism dem...