Relevant bibliographies by topics / Dynamic panel GMM method

Academic literature on the topic 'Dynamic panel GMM method'

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Published: 7 July 2024

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  1. Journal articles
  2. Dissertations / Theses
  3. Books
  4. Book chapters
  5. Conference papers
  6. Reports

Journal articles on the topic "Dynamic panel GMM method":

1

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
2

Abonazel, Mohamed. "Bias correction methods for dynamic panel data models with fixed effects." International Journal of Applied Mathematical Research 6, no. 2 (May 24, 2017): 58. http://dx.doi.org/10.14419/ijamr.v6i2.7774.

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This paper considers the estimation methods for dynamic panel data (DPD) models with fixed effects, which suggested in econometric literature, such as least squares (LS) and generalized method of moments (GMM). These methods obtain biased estimators for DPD models. The LS estimator is inconsistent when the time dimension (T) is short regardless of the cross-sectional dimension (N). Although consistent estimates can be obtained by GMM procedures, the inconsistent LS estimator has a relatively low variance and hence can lead to an estimator with lower root mean square error after the bias is removed. Therefore, we discuss in this paper the different methods to correct the bias of LS and GMM estimations. The analytical expressions for the asymptotic biases of the LS and GMM estimators have been presented for large N and finite T. Finally; we display new estimators that presented by Youssef and Abonazel [40] as more efficient estimators than the conventional estimators.
3

Han, Chirok, Peter C. B. Phillips, and Donggyu Sul. "X-DIFFERENCING AND DYNAMIC PANEL MODEL ESTIMATION." Econometric Theory 30, no. 1 (August 7, 2013): 201–51. http://dx.doi.org/10.1017/s0266466613000170.

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This paper introduces a new estimation method for dynamic panel models with fixed effects and AR(p) idiosyncratic errors. The proposed estimator uses a novel form of systematic differencing, called X-differencing, that eliminates fixed effects and retains information and signal strength in cases where there is a root at or near unity. The resulting “panel fully aggregated” estimator (PFAE) is obtained by pooled least squares on the system of X-differenced equations. The method is simple to implement, consistent for all parameter values, including unit root cases, and has strong asymptotic and finite sample performance characteristics that dominate other procedures, such as bias corrected least squares, generalized method of moments (GMM), and system GMM methods. The asymptotic theory holds as long as the cross section (n) or time series (T) sample size is large, regardless of then/Tratio, which makes the approach appealing for practical work. In the time series AR(1) case (n= 1), the FAE estimator has a limit distribution with smaller bias and variance than the maximum likelihood estimator (MLE) when the autoregressive coefficient is at or near unity and the same limit distribution as the MLE in the stationary case, so the advantages of the approach continue to hold for fixed and even smalln. Some simulation results are reported, giving comparisons with other dynamic panel estimation methods.
4

Szarek, Joanna, and Jakub Piecuch. "Dynamic panel model in bioeconomy modeling." Agricultural Economics (Zemědělská ekonomika) 68, No. 1 (January 25, 2022): 20–27. http://dx.doi.org/10.17221/156/2021-agricecon.

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Currently, technological development is driven by the search for solutions to prevent climate change and environmental degradation, increase energy efficiency, and meet societal needs in relation to avoiding conflict while navigating the implementation of current and future needs. Many of the solutions come from the rapid development of the bioeconomy. The aim of this article is to determine the impact of bioeconomy variables on economic growth in 27 EU countries. The research goal of the paper is based on the estimation of dynamic panel models using the generalized method of moments (GMM). The following set of variables used in the dynamic panel model had a positive impact on economic growth in the EU-27 countries: greenhouse gases by sector: agriculture, circular material use rate, recycling rate of packaging waste by type of packaging – plastic packaging, recycling rate of packaging waste by type of packaging – wooden packaging. Three variables were shown to have a negative impact on economic growth, namely: recycling rate of municipal waste, recycling rate of e-waste, trade-in recyclable raw materials – exports extra-EU.
5

Phillips, Peter C. B. "Dynamic Panel Modeling of Climate Change." Econometrics 8, no. 3 (July 28, 2020): 30. http://dx.doi.org/10.3390/econometrics8030030.

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We discuss some conceptual and practical issues that arise from the presence of global energy balance effects on station level adjustment mechanisms in dynamic panel regressions with climate data. The paper provides asymptotic analyses, observational data computations, and Monte Carlo simulations to assess the use of various estimation methodologies, including standard dynamic panel regression and cointegration techniques that have been used in earlier research. The findings reveal massive bias in system GMM estimation of the dynamic panel regression parameters, which arise from fixed effect heterogeneity across individual station level observations. Difference GMM and Within Group (WG) estimation have little bias and WG estimation is recommended for practical implementation of dynamic panel regression with highly disaggregated climate data. Intriguingly, from an econometric perspective and importantly for global policy analysis, it is shown that in this model despite the substantial differences between the estimates of the regression model parameters, estimates of global transient climate sensitivity (of temperature to a doubling of atmospheric CO2) are robust to the estimation method employed and to the specific nature of the trending mechanism in global temperature, radiation, and CO2.
6

Ahmad, Nur Aminah, Georgina M. Tinungki, and Nurtiti Sunusi. "Estimation of Dynamic Panel Data Regression Parameters Using Generalized Methods of Moment." Jurnal Matematika, Statistika dan Komputasi 18, no. 3 (May 15, 2022): 484–91. http://dx.doi.org/10.20956/j.v18i3.20574.

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Panel data is a combination of cross section and time series. There are two panel data models, namely static and dynamic panel data. Because seeing the advantages of the dynamic panel data model which is able to overcome endogeneity problems related to the use of the dependent variable lag where in the static panel data model the use of the dependent variable lag causes the estimation results to be biased and inconsistent, so the author examines the dynamic panel data regression model. In the dynamic data model there is a lag of the dependent variable, this variable is correlated with error. Thus, estimation using OLS will result in a biased and inconsistent estimator. To overcome this, the dynamic panel data model can be estimated using the GMM Blundell-Bond approach. Based on the discussion, the parameter estimation formula for dynamic panel data regression using the Blundell-Bond GMM approach is as follows:
7

Soukaina, Khadhraoui, and Sami Hammami. "IMPACT OF BUDGET DEFICIT ON MACROECONOMICS VARIABLES: DATA FROM EUROZONE COUNTRIES (1990-2016)." EUrASEANs: journal on global socio-economic dynamics, no. 3(40) (May 18, 2023): 7–15. http://dx.doi.org/10.35678/2539-5645.3(40).2023.7-15.

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This study aims at examining the interactions between budget deficit and macroeconomic variables namely: budget deficit openness, GDP per capita growth, Gross fixed capital formation, and inflation rate. To test this analysis, we have used the generalized method of moments (GMM) system of macroeconomic data from 1990 to 2016 in six countries of the Eurozone such as France, Spain, Portugal, Greece, Ireland, and Cyprus. For this study, static and dynamic panel estimation techniques are used with the help of the OLS, GLS Fixed and Random effect for static panels, and the GMM to estimate our dynamic panel data model, which also considers the lag level of the budget deficit. The GMM panel model results indicate that openness has a significant negative impact on the budget deficit; the coefficient of gross fixed capital formation has a significant and positive impact on the budget deficit. The GDP per capita has a significant negative impact on the budget deficit and the INF has a significant and positive impact on the budget deficit.
8

Gørgens, Tue, and Allan H. Würtz. "Threshold Regression with Endogeneity for Short Panels." Econometrics 7, no. 2 (May 22, 2019): 23. http://dx.doi.org/10.3390/econometrics7020023.

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This paper considers the estimation of dynamic threshold regression models with fixed effects using short panel data. We examine a two-step method, where the threshold parameter is estimated nonparametrically at the N-rate and the remaining parameters are estimated by GMM at the N -rate. We provide simulation results that illustrate advantages of the new method in comparison with pure GMM estimation. The simulations also highlight the importance of the choice of instruments in GMM estimation.
9

Tinungki, Georgina Maria, Robiyanto Robiyanto, and Powell Gian Hartono. "The Effect of COVID-19 Pandemic on Corporate Dividend Policy in Indonesia: The Static and Dynamic Panel Data Approaches." Economies 10, no. 1 (January 1, 2022): 11. http://dx.doi.org/10.3390/economies10010011.

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This research examines the effect of the crisis due to the COVID-19 pandemic on dividend policy in Indonesia. The purposive sampling method was used to collect data from corporates listed on the IDX from 2014 to 2020 and analyzed using static and dynamic panel data approaches. The fixed-effect models (FEM) were selected for the static panel data regression. Meanwhile, the first difference-generalized method of moments (FD-GMM) and system-generalized method of moments (SYS-GMM) were used for determine the robustness of the estimated dynamic panel data. The results showed that the crisis due to the pandemic led to higher dividend distribution on SYS-GMM. Furthermore, companies maintained the dividend level as a positive signal for investors which lifted the sluggish trade condition in the capital market. Profitability and previous year dividends positively affect dividend policy robustly. Furthermore, the results showed that age affects dividend policy on FD-GMM. Financial leverage has a robust effect, and firm size has an effect on FD-GMM in different directions, while investment opportunity does not affect dividend policy. Statistically, the FEM selected that violates the best linear unbiased estimation was proven to form parameters that were not much different from the estimates produced by the dynamic model, both from the coefficient of influence direction and significance, and the omitted variable bias occurs as evidenced in the robust test with dynamic model was solved. This research is also used as a reference for considering investors’ investment decisions in the new normal condition. Therefore, dividend policy can be considered as a positive signal to investors with the ability to stock trading activities in the capital market.
10

Sthembiso Msomi, Thabiso, and Odunayo Magret Olarewaju. "Dynamic panel investigation of the determinants of South African commercial banks’ operational efficiency." Banks and Bank Systems 17, no. 4 (November 2, 2022): 35–49. http://dx.doi.org/10.21511/bbs.17(4).2022.04.

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Like any other business, commercial banks are greatly affected by the micro and macro-environment that operate in, no matter how large they are. Capital adequacy ratio, credit risk, money supply, inflation, the exchange rate, and the national gross domestic product have been noted to be the key determinants of bank operational efficiency. This research study looked at the operational efficiency of four large South African banks, namely, Standard Bank, Absa, Nedbank, and First National Bank. A quantitative, descriptive, correlation design was employed, and the System-Generalized Method of Moments (SYS-GMM) techniques were used and revealed that operational efficiency was positively correlated with capital adequacy ratio, credit risk, inflation, and exchange rate, and negatively correlated with profitability, money supply and GDP. SYS-GMM estimates show that capital adequacy ratio, credit risk, inflation and exchange rate positively influenced operational efficiency, while profitability, money supply (M3) and GDP had a negative influence. Thus, it is concluded that bank management should decrease administrative costs, evaluate customers’ creditworthiness before issuing loans, raise bank size as operational conditions require, boost intermediation, and anticipate inflation to operate more efficiently.
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Journal articles Dissertations / Theses

Dissertations / Theses on the topic "Dynamic panel GMM method":

1

Tan, David Tatwei Banking &amp Finance Australian School of Business UNSW. "Corporate governance and firm outcomes: causation or spurious correlation?" Awarded By:University of New South Wales. Banking & Finance, 2009. http://handle.unsw.edu.au/1959.4/43371.

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The rapid growth of financial markets and the increasing diffusion of corporate ownership have placed tremendous emphasis on the effectiveness of corporate governance in resolving agency conflicts within the firm. This study investigates the corporate governance and firm performance/failure relation by implementing various econometric modelling methods to disaggregate causal relations and spurious correlations. Using a panel dataset of Australian firms, a comprehensive suite of corporate governance mechanisms are considered; including the ownership, remuneration, and board structures of the firm. Initial ordinary least squares (OLS) and fixed-effects panel specifications report significant causal relations between various corporate governance measures and firm outcomes. However, the dynamic generalised method of moments (GMM) results indicate that no causal relations exist when taking into account the effects of simultaneity, dynamic endogeneity, and unobservable heterogeneity. Moreover, these results remain robust when accounting for the firm??s propensity for fraud. The findings support the equilibrium theory of corporate governance and the firm, suggesting that a firm??s corporate governance structure is an endogenous characteristic determined by other firm factors; and that any observed relations between governance and firm outcomes are spurious in nature. Chapter 2 examines the corporate governance and firm performance relation. Using a comprehensive suite of corporate governance measures, this chapter finds no evidence of a causal relation between corporate governance and firm performance when accounting for the biases introduced by simultaneity, dynamic endogeneity, and unobservable heterogeneity. This result is consistent across all firm performance measures. Chapter 3 explores the corporate governance and likelihood of firm failure relation by implementing the Merton (1974) model of firm-valuation. Similarly, no significant causal relations between a firm??s corporate governance structure and its likelihood of failure are detected when accounting for the influence of endogeneity on the parameter estimates. Chapter 4 re-examines the corporate governance and firm performance/failure relation within the context of corporate fraud. Using KPMG and ASIC fraud databases, the corporate governance and firm outcome relations are estimated whilst accounting for the firms?? vulnerability to corporate fraud. This chapter finds no evidence of a causal relation between corporate governance and firm outcomes when conditioning on a firm??s propensity for fraud.
2

Annaoui, Ilias. "Essais sur le choix de financement par Equity Lines." Electronic Thesis or Diss., Bordeaux, 2023. http://www.theses.fr/2023BORD0178.

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Un financement par Equity lines permet à une entreprise de mobiliser des fonds supplémentaires à tout moment durant une période convenue afin de renforcer ses capitaux propres. Peu de recherches se concentrent sur ce mécanisme de financement par Equity lines et aucune sur les déterminants de la structure du capital, des mécanismes internes liés à la gouvernance et du contenu informationnel des marchés boursiers. Cette thèse s'articule autour de trois segments de recherche inter-reliés. Elle explore l'utilisation des mécanismes d’Equity lines, afin de mieux appréhender les critères qui motivent le recours à ce type de financement, en examinant à la fois les facteurs spécifiques aux entreprises et ceux relevant de leur environnement général. Notre recherche montre que les opportunités de croissance, la liquidité et le degré de développement du marché boursier (maturité, expérience des intermédiaires financiers, nombre de transactions, etc.) constituent les facteurs déterminant dans le choix d’un financement par Equity lines. Cette thèse prouve également que ces financements se retrouvent dans des entreprises à actionnariat managérial, dirigées par des hommes non enracinés, relativement âgés et moins diplômés, qui assurent la fonction de président du conseil d'administration. Nos travaux examinent enfin le contenu informationnel lors de l'annonce de l'émission d'Equity lines. Ils montrent que la réaction négative du marché autour de la date d'annonce, et la persistance de cet effet après la date d’annonce, soutient l’hypothèse de la signalisation d'informations privilégiées. Les différentes conclusions de cette thèse enrichissent le corpus de connaissances sur la structure du capital, la gouvernance d'entreprise et les marchés financiers. Mais les conséquences en termes de risques inhérents aux investissements utilisant cet instrument financier suscitent des interrogations à ce jour. Il s’agit notamment du risque de perte du capital investi, associé à une forte pression à la baisse sur le cours de l'action
Equity lines financing allows a manager to raise additional funds at any time during an agreed period to strengthen his or her equity. Little recent research has focused on this Equity lines financing mechanism and none on the determinants of capital structure, internal governance mechanisms, and the information content of equity markets. This thesis is structured around a set of interrelated research segments. It explores the use of Equity lines mechanisms to better understand the factors that motivate the use of this type of financing, by examining both the factors specific to companies and those related to their general environment. Our research shows that growth opportunities, liquidity, the degree of development of the stock market (maturity, experience of financial intermediaries, number of transactions, etc.) are the factors that determine the choice of Equity lines financing. This thesis also proves that male executives, who are not entrenched, relatively old and less educated, also serve as chairman of the board of companies with managerial shareholding. Our work evaluates the information content of the announcement of the Equity lines issue. We show that the negative market reaction around the announcement date, and the persistence of this effect after the announcement date, support the hypothesis of inside information reporting. The various findings of this thesis add to the body of knowledge on capital structure, corporate governance and financial markets. The consequences on the risks inherent in investments using this financial instrument are questionable. These include the risk of losing the capital invested, which is associated with strong downward pressure on the share price
3

Mammi, Irene. "Essays in GMM estimation of dynamic panel data models." Thesis, IMT Alti Studi Lucca, 2011. http://e-theses.imtlucca.it/56/1/Mammi_phdthesis.pdf.

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The aim of the work is twofold. First, we investigate the properties of the dynamic panel data (DPD) GMM estimator when the instrument count is high. We introduce the extraction of principal components fromthe instrument matrix as an effective strategy to reduce the number of instruments. Through Monte Carlo experiments, we want to compare the performances of the GMM estimators when the instrument set is factorized, collapsed or limited. Second, we estimate fiscal response functions on simulated panels and on real data to identify the best-performing estimator in this context, where endogeneity and instrument proliferation issues are unavoidable. The dissertation consists of three chapters. The first reviews the literature of DPD estimation and presents the issue of instrument proliferation in DPD GMM estimation. The second introduces the principal component analysis (PCA) to reduce the dimension of the instrument matrix and compares the performances of the factorized, limited and collapsed GMM estimators, finding them similar. Though the simulated models are extremely simplified, the PCA seems to be promising. The third chapter simulates fiscal response functions and investigates the properties of DPD estimators in fiscal rules estimation; the fiscal rules are then estimated on real data for EMU Countries. The system GMM estimator is the best-performing here. Instrument proliferation does not bias the estimates; collapsing and lag truncation of the instrument matrix can lead to misleading results, while the factorized estimator performs well. Discretionary policies within the EMU are systematically found a-cyclical.
4

Badinger, Harald, Werner Müller, and Gabriele Tondl. "Regional convergence in the European Union (1985-1999). A spatial dynamic panel analysis." Forschungsinstitut für Europafragen, WU Vienna University of Economics and Business, 2002. http://epub.wu.ac.at/1786/1/document.pdf.

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We estimate the speed of income convergence for a sample of 196 European NUTS 2 regions over the period 1985-1999. So far there is no direct estimator available for dynamic panels with strong spatial dependencies. We propose a two-step procedure, which involves first spatial filtering of the variables to remove the spatial correlation, and application of standard GMM estimators for dynamic panels in a second step. Our results show that ignorance of the spatial correlation leads to potentially misleading results. Applying a system GMM estimator on the filtered variables, we obtain a speed of convergence of 6.9 per cent and a capital elasticity of 0.43.
Series: EI Working Papers / Europainstitut
5

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.
6

Ruzibuka, John S. "The impact of fiscal deficits on economic growth in developing countries : Empirical evidence and policy implications." Thesis, University of Bradford, 2012. http://hdl.handle.net/10454/16282.

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This study examines the impact of fiscal deficits on economic growth in developing countries. Based on deduction from the relevant theoretical and empirical literature, the study tests the following hypotheses regarding the impact of fiscal deficits on economic growth. First, fiscal deficits have significant positive or negative impact on economic growth in developing countries. Second, the impact of fiscal deficits on economic growth depends on the size of deficits as a percentage of GDP – that is, there is a non-linear relationship between fiscal deficits and economic growth. Third, the impact of fiscal deficits on economic growth depends on the ways in which deficits are financed. Fourth, the impact of fiscal deficits on economic growth depends on what deficit financing is used for. The study also examines whether there are any significant regional differences in terms of the relationship between fiscal deficits and economic growth in developing countries. The study uses panel data for thirty-one developing countries covering the period 1972- 2001, which is analysed based on the econometric estimation of a dynamic growth model using the Arellano and Bond (1991) generalised method of moments (GMM) technique. Overall, the results suggest the following. First, fiscal deficits per se have no any significant positive or negative impact on economic growth. Second, by contrast, when the deficit is substituted by domestic and foreign financing, we find that both domestic and foreign financing of fiscal deficits exerts a negative and statistically significant impact on economic growth with a lag. Third, we find that both categories of economic classification of government expenditure, namely, capital and current expenditure, have no significant impact on economic growth. When government expenditure is disaggregated on the basis of a functional classification, the results suggest that spending on education, defence and economic services have positive but insignificant impact on growth, while spending on health and general public services have positive and significant impact. Fourth, in terms of regional differences with regard to the estimated relationships, the study finds that, while there are some regional differences between the four different regions represented in our sample of thirty-one developing countries - namely, Asia and the Pacific, Latin America and the Caribbean, Middle East and North Africa, and Sub-Saharan Africa – these differences are not statistically significant. On the basis of these findings, the study concludes that fiscal deficits per se are not necessarily good or bad for economic growth in developing countries; how the deficits are financed and what they are used for matters. In addition, the study concludes that there are no statistically significant regional differences in terms of the relationship between fiscal deficits and economic growth in developing countries.
7

El-Ganainy, Asmaa Adel. "Essays on Value-Added Taxation." Digital Archive @ GSU, 2006. http://digitalarchive.gsu.edu/econ_diss/12.

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This dissertation evaluates the empirical relation between the value-added tax (VAT) and the level of aggregate consumption. Furthermore, it develops a theoretical framework and an empirical analysis to study the impact of the VAT, as a form of taxing consumption, on capital accumulation, productivity growth, and overall economic growth. While recent theoretical work shows that the VAT may boost capital accumulation and growth by encouraging more savings, we find that the net impact of consumption taxes on growth and its sources is theoretically ambiguous, and depends on the interaction between utility parameters, the interest rate, and the tax structure. Moreover, we develop a theoretical model to study the tax design problem in order to rationalize the observed variation in effective VAT rates over time in our sample. This framework considers both equity and efficiency as important factors determining optimal tax structure, and we identify conditions under which taxes could be evolving or constant over time. Empirically, we use a panel of 15 European Union countries and employ the recently developed GMM dynamic panel techniques. After controlling for the potential biases associated with persistence, endogeneity, simultaneity, measurement error, omitted variables, and unobserved country-specific effects, we find that (i) the VAT exerts a negative impact on the level of aggregate consumption, (ii) the VAT affects physical capital accumulation positively, which feeds through to overall GDP growth, and (iii) productivity growth seems to be a less relevant channel for the VAT to influence economic growth.
8

Andrienko, Yury. "Essays on economic causes and consequences of migration." Thesis, The University of Sydney, 2011. http://hdl.handle.net/2123/7739.

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Migration is a multidimensional phenomenon requiring an interdisciplinary approach. This thesis studies some economic aspects of the internal migration of labour. A model of migration as investment in human capital is applied throughout the thesis to study economic causes and consequences of internal migration on a micro level. Various predictions from the theory are verified on longitudinal micro data from the Household Income and Labour Dynamics in Australia (HILDA) survey. The thesis is composed of three essays: (1) Causes of migration, the individual level push and pull factors facilitating or hampering mobility and representing both costs and benefits to migration, are studied in Chapter 2. A binary dependent variable model for the likelihood of an individual migration decision is estimated on panel data from the HILDA survey by means of the probit model with individual random effects. The main results are that those not in the labour force, similarly to the unemployed, are more mobile than the employed; and that higher individual wages and greater remoteness from larger urban centres also increase the likelihood of migration. (2) Chapter 3 studies wage returns to internal migration. Evidence is sought for the theoretical predictions of the traditional human capital model of investment in migration about a positive wage premium: positive returns to migration distance and human capital. Using individual-level data from the HILDA Survey and applying a system GMM to a dynamic panel earnings model, it is found that in the short-run there are returns to distance which increase with the level of education and decline with the level of pre-migration wage. The conclusion is that internal migration in Australia is a good strategy only for better educated and lower income individuals. (3) Several theoretical models of migration destination search are presented in Chapter 4. It discusses two models of migration as an outcome of the fixed-sample-size search and the sequential search. A model with endogenous investment in search activity demonstrates that lower initial utility increases chances to participate in search and that the likelihood of migration depends on budget constraints: those of the poor who can afford to buy relatively more information are expected to gain more than others.
9

Ruzibuka, John Shofel. "The impact of fiscal deficits on economic growth in developing countries : empirical evidence and policy implications." Thesis, University of Bradford, 2012. http://hdl.handle.net/10454/16282.

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This study examines the impact of fiscal deficits on economic growth in developing countries. Based on deduction from the relevant theoretical and empirical literature, the study tests the following hypotheses regarding the impact of fiscal deficits on economic growth. First, fiscal deficits have significant positive or negative impact on economic growth in developing countries. Second, the impact of fiscal deficits on economic growth depends on the size of deficits as a percentage of GDP - that is, there is a non-linear relationship between fiscal deficits and economic growth. Third, the impact of fiscal deficits on economic growth depends on the ways in which deficits are financed. Fourth, the impact of fiscal deficits on economic growth depends on what deficit financing is used for. The study also examines whether there are any significant regional differences in terms of the relationship between fiscal deficits and economic growth in developing countries. The study uses panel data for thirty-one developing countries covering the period 1972- 2001, which is analysed based on the econometric estimation of a dynamic growth model using the Arellano and Bond (1991) generalised method of moments (GMM) technique. Overall, the results suggest the following. First, fiscal deficits per se have no any significant positive or negative impact on economic growth. Second, by contrast, when the deficit is substituted by domestic and foreign financing, we find that both domestic and foreign financing of fiscal deficits exerts a negative and statistically significant impact on economic growth with a lag. Third, we find that both categories of economic classification of government expenditure, namely, capital and current expenditure, have no significant impact on economic growth. When government expenditure is disaggregated on the basis of a functional classification, the results suggest that spending on education, defence and economic services have positive but insignificant impact on growth, while spending on health and general public services have positive and significant impact. Fourth, in terms of regional differences with regard to the estimated relationships, the study finds that, while there are some regional differences between the four different regions represented in our sample of thirty-one developing countries - namely, Asia and the Pacific, Latin America and the Caribbean, Middle East and North Africa, and Sub-Saharan Africa - these differences are not statistically significant. On the basis of these findings, the study concludes that fiscal deficits per se are not necessarily good or bad for economic growth in developing countries; how the deficits are financed and what they are used for matters. In addition, the study concludes that there are no statistically significant regional differences in terms of the relationship between fiscal deficits and economic growth in developing countries.
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Gaies, Brahim. "Globalisation financière et croissance dans les pays en développement : mise en évidence des effets sur l’instabilité financière et l’instabilité monétaire." Thesis, Paris 10, 2018. http://www.theses.fr/2018PA100007/document.

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La présente thèse tente de savoir s’il est opportun pour les pays en développement les moins avancés de s’engager davantage dans le processus de globalisation financière pour promouvoir leur croissance, et si ce processus influence les effets des instabilités, financière et monétaire, sur cette dernière. A cette fin, la thèse se déroule en trois parties. Avant d’examiner le cadre théorique de la globalisation financière, la première partie esquisse sa genèse avec en arrière-fond la recherche d’une réponse au problème de sa régulation. La deuxième partie s’intéresse à la littérature sur les effets de la globalisation financière sur la croissance, afin d’en tirer les enseignements pour une étude de 72 pays en développement à revenu bas de 1972 à 2011. La troisième partie se focalise sur les impacts de la globalisation financière et des deux instabilités considérées isolément, puis en interaction avec la globalisation sur la croissance à travers deux études empiriques basées sur le même cadre spatio-temporel que l’étude précédente. Ces dernières sont précédées par une revue des relations entre la globalisation financière, l’instabilité financière puis monétaire et la croissance, avec une analyse théorique de l’instabilité financière. Il en ressort que les instabilités, financière et monétaire, ont des effets négatifs sur la croissance, tandis que la globalisation financière, et en particulier la globalisation par l’investissement contrairement à celle par l’endettement, promeut les bienfaits des politiques économiques et du commerce extérieur, en plus de son effet positif direct sur la croissance même en présence des deux instabilités dont elle diminue les effets négatifs
This thesis examines whether or not it is beneficial for least developed countries to engage more in the process of financial globalization in pursuit of their economic growth, and if this process influences the effects of financial and monetary instability on the latter. This thesis is divided into three parts. Before examining the theoretical framework of financial globalization, the first part sketches its genesis on a background of the research for an answer to the problem of its regulation. The second part focuses on the literature on the impact of financial globalization on growth. This is done in order to draw lessons for the establishment of a study covering 72 low-income developing countries over the period 1972-2011. The third part centers on the impact on economic growth of financial globalization and the two aforementioned types of instability, discussed both separately and in conjunction. Evidence is provided by two empirical studies based on the same spatio-temporal framework as the previous one. These studies are preceded by a review of the literature on the relationship between financial globalization, financial and then monetary instability and growth, in addition to a theoretical analysis of financial instability. This illustrates that financial and monetary instability have negative effects on growth, while financial globalization and in particular investment-globalization, unlike indebtedness-globalization, promotes the benefits of macroeconomic policies and international trade. This can be find in addition to its direct positive effect on growth, even in the presence of the two instabilities of which it reduces the negative effects
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Books on the topic "Dynamic panel GMM method":

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Alt, James E., and Shanna S. Rose. Context‐Conditional Political Budget Cycles. Edited by Carles Boix and Susan C. Stokes. Oxford University Press, 2009. http://dx.doi.org/10.1093/oxfordhb/9780199566020.003.0034.

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This article studies the contextual determinants of incumbents' ability and incentives to engineer political business cycles in American states. It presents a short review of related literature to clarify how and why the theory of political budget cycles evolved. It describes the data and methodology — single estimation method of dynamic panel analysis — used in the study. The results of the study are discussed in the latter part of the article.

Book chapters on the topic "Dynamic panel GMM method":

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Windmeijer, Frank. "Efficiency Comparisons for a System GMM Estimator in Dynamic Panel Data Models." In Innovations in Multivariate Statistical Analysis, 175–84. Boston, MA: Springer US, 2000. http://dx.doi.org/10.1007/978-1-4615-4603-0_11.

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Calzolari, Giorgio, and Laura Magazzini. "Improving GMM Efficiency in Dynamic Models for Panel Data with Mean Stationarity." In Studies in Classification, Data Analysis, and Knowledge Organization, 201–16. Cham: Springer International Publishing, 2019. http://dx.doi.org/10.1007/978-3-030-25147-5_13.

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Coskuner, Cagay, and Godwin Oluseye Olasehinde-Williams. "Estimating the Effect of Common Currency on Trade in West African Monetary Zones: A Dynamic Panel-GMM Analysis." In New Challenges in Banking and Finance, 105–14. Cham: Springer International Publishing, 2017. http://dx.doi.org/10.1007/978-3-319-66872-7_9.

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Chen, Xiulan, and Zhaomin Zou. "Impacts of Cross-border Capital Flow on China’s Commercial Banks’ Soundness Based on GMM of Dynamic Panel System." In Proceedings of the 2022 2nd International Conference on Business Administration and Data Science (BADS 2022), 643–56. Dordrecht: Atlantis Press International BV, 2023. http://dx.doi.org/10.2991/978-94-6463-102-9_67.

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Zhang, Nan, and Gongsheng Huang. "Research on the Dynamic Simulation Method of Air-Layer Integrated Ceiling Radiant Cooling Panel." In Proceedings of the 5th International Conference on Building Energy and Environment, 385–93. Singapore: Springer Nature Singapore, 2023. http://dx.doi.org/10.1007/978-981-19-9822-5_41.

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Ali, Walid. "Foreign Direct Investment (FDI) and Its Impact on Regional Development." In Artificial Intelligence and Machine Learning-Powered Smart Finance, 269–88. IGI Global, 2024. http://dx.doi.org/10.4018/979-8-3693-3264-1.ch018.

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Except for a few recent works, the study of the articulation between regional direct investment and economic development in a country like Tunisia has remained, at best, at the stage of theoretical argument. The major contribution of this work is to undertake the empirical exploration of the black box constituted by regional investment so far in order to explain the weakness of national financial resources and the low rate of economic growth that results from it. In this context, the authors first establish basic results by estimating a static panel model, then they consider dynamic panel estimates through the use of the GMM-system method developed by Blundell and Blond for six Tunisian regions (GT, NE, NO, CE, CO, and South) for the period covering 22 years from 2000 to 2021. As a last resort, they consider the non-stationary panel perspective. The panel unit root tests of Levin, Lin, and Chu; Pesaran and Shin; and Hadri indicate that the series are integrated of Order 1.
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Jaouad Malzi, Mohamed. "The Dynamic of Residential Energy Demand Function: Evidence from Natural Gas." In Natural Gas - New Perspectives and Future Developments [Working Title]. IntechOpen, 2022. http://dx.doi.org/10.5772/intechopen.102451.

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This analysis uses annual data on residential gas use for 29 Organization for Economic Cooperation and Development nations from 2005 to 2016 to look at per capita energy demand. The effect of price and income on natural gas demand elasticities has been studied in the past, but most research have ignored demographic aspects. The goal of this study is to incorporate these characteristics into natural gas demand modeling. A dynamic panel system dubbed the Generalized Method of Moments (GMM) estimator was used to address the endogeneity issue. The following are the study’s main findings: First, the residential sector consumes more natural gas per capita as the population grows. Second, the consumption of per capita residential natural gas in Organization for Economic Cooperation and Development countries is decreasing as the population ages. Finally, as the population density rises, so does per capita gas consumption.
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Hatane, Saarce Elsye, Amadea Nathania Pranoto, Josua Tarigan, Josephine Alexandra Susilo, and Ang Jonathan Christianto. "The CSR Performance and Earning Management Practice on the Market Value of Conventional Banks in Indonesia." In Global Challenges and Strategic Disruptors in Asian Businesses and Economies, 196–213. IGI Global, 2021. http://dx.doi.org/10.4018/978-1-7998-4787-8.ch012.

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This study examined the effect of the components of corporate social responsibility (CSR) and earnings management on market value, measured using Tobin's Q. CSR is measured by using KLD Index, while earnings management used discretionary loan loss provision. The GMM-SYS (generalized method of moment system) dynamic panel data method is employed to examine the research framework on conventional banks listed in Indonesia Stock Exchange. Among six components in CSR disclosures, only corporate governance, environmental and product disclosures are favorable for bank's market value. Furthermore, earnings management had a positive impact on market value. Empirical result indicated that CSR functions as a part of bank strategic moves in order to survive the highly dynamical business environment. Since CSR inflicts additional costs for the company, they must perform CSR efficiently while maintaining a strong relationship with shareholders. This study contributes to CSR and financial management literature by finding the nature of CSR effects as future strategic investment.
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Hatane, Saarce Elsye, Amadea Nathania Pranoto, Josua Tarigan, Josephine Alexandra Susilo, and Ang Jonathan Christianto. "The CSR Performance and Earning Management Practice on the Market Value of Conventional Banks in Indonesia." In Research Anthology on Developing Socially Responsible Businesses, 1420–38. IGI Global, 2022. http://dx.doi.org/10.4018/978-1-6684-5590-6.ch070.

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This study examined the effect of the components of corporate social responsibility (CSR) and earnings management on market value, measured using Tobin's Q. CSR is measured by using KLD Index, while earnings management used discretionary loan loss provision. The GMM-SYS (generalized method of moment system) dynamic panel data method is employed to examine the research framework on conventional banks listed in Indonesia Stock Exchange. Among six components in CSR disclosures, only corporate governance, environmental and product disclosures are favorable for bank's market value. Furthermore, earnings management had a positive impact on market value. Empirical result indicated that CSR functions as a part of bank strategic moves in order to survive the highly dynamical business environment. Since CSR inflicts additional costs for the company, they must perform CSR efficiently while maintaining a strong relationship with shareholders. This study contributes to CSR and financial management literature by finding the nature of CSR effects as future strategic investment.
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Mahapatra, Sudhansu Sekhar, Madhabendra Sinha, Anjan Ray Chaudhury, Abhijit Dutta, and Partha Pratim Sengupta. "Defense Expenditure and Economic Performance in SAARC Countries." In Handbook of Research on Military Expenditure on Economic and Political Resources, 46–58. IGI Global, 2018. http://dx.doi.org/10.4018/978-1-5225-4778-5.ch003.

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Governments in most of the nations aim to fulfil their requirements and protect themselves with the necessities of public life from the external threats, and also try to separate a significant portion for defense-related spending from the budget. But the impact of defense expenditures on economic growth is not apparent. It deserves an empirical investigation to explore the external effect of defense spending on the economic performance of the country. The authors choose six SAARC countries, namely Afghanistan, Bangladesh, India, Nepal, Pakistan, and Sri Lanka, where defense-related issues regarding internal security as well as external relationships with neighbor countries are the most significant to examine the relationship between defense expenditures and economic performance measured by GDP growth. The method of GMM estimation is applied in a dynamic panel structure of selected countries over the period 1970-2016. Empirical findings show that, besides some possible factors, defense spending has a positive and significant impact on economic growth in SAARC member nations.

Conference papers on the topic "Dynamic panel GMM method":

1

Kamenjarska, Tanja, and Igor Ivanovski. "IMPACT OF BOARD CHARACTERISTICS ON FIRM PERFORMANCE: DYNAMIC PANEL EVIDENCE OF THE INSURANCE INDUSTRY IN THE REPUBLIC OF NORTH MACEDONIA." In Economic and Business Trends Shaping the Future. Ss Cyril and Methodius University, Faculty of Economics-Skopje, 2020. http://dx.doi.org/10.47063/ebtsf.2020.0027.

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Corporate governance is a crucial mechanism for the organizations’ actions to maintain market successful adequate and targeted policies and long-term strategies that ensure the maximization of shareholders’ benefits. The board of directors is appointed by organizations’ shareholders and its main role is to be responsible and accountable and to ensure enforcement of the top management acts concerning the fulfillment of the shareholder’s interests. For this to be achieved, it is important for the board to be efficient, effective, and focused on protecting the organization and shareholder’s interests. Good corporate governance and more specifically, board characteristics play a central role in companies’ management, coordination, and control mechanisms. The paper analyses various theoretical and empirical findings regarding the prominence of various board characteristics within companies and particularly evaluates the impact of board characteristics on the financial performance of listed companies in the insurance industry in the Republic of North Macedonia. The financial ratio ROA is used as a proxy and as a variable for firm performance while the board experience, CEO duality, board size, board composition, and gender diversity are set to be as independent variables. Based on the variables related to board characteristics, hypotheses are developed and their impact upon firm performance is examined with the use of Generalized Methods of Moments (GMM), a pairwise correlation matrix, as well as with multicollinearity VIF test. In that direction, this paper aims to determine the level of effectiveness of current governance mechanisms and based on the results, propose measures and actions for successfully handling agency costs while maximizing governance capability and performance in the insurance sector in the Republic of North Macedonia.
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Ti, Boyang, Yongsheng Gao, Qiang Li, and Jie Zhao. "Dynamic Movement Primitives for Movement Generation Using GMM-GMR Analytical Method." In 2019 IEEE 2nd International Conference on Information and Computer Technologies (ICICT). IEEE, 2019. http://dx.doi.org/10.1109/infoct.2019.8711390.

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Solibakke, Per Bjarte, Torbjorn Arethun, and Ove Oklevik. "Determinants for European energy markets intra-day volatility using dynamic panel data models and GMM-type estimators." In 2010 7th International Conference on the European Energy Market (EEM 2010). IEEE, 2010. http://dx.doi.org/10.1109/eem.2010.5558748.

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Yanıkkaya, Halit, and Taner Turan. "Does External Debt Matter for Investment: Evidence from GMM." In International Conference on Eurasian Economies. Eurasian Economists Association, 2018. http://dx.doi.org/10.36880/c10.02139.

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In theory, the main channel which through external debt would affect the growth rate is investment. On the one hand, external debt would boost the investment by providing more resources than domestically available. On the other hand, external debt would create a disincentive effect, as suggested by debt overhang arguments. Since it is not clear which effect will dominate in practice, empirical studies would be helpful to shed light on the issue. Moreover, one can argue that the effect of external debt on the private and public investment does not need to be the same. Therefore, aside from total investment we investigate the impact of external debt on disaggregated investment. We use dynamic panel analysis and data for a large sample of countries to investigate the subject at hand. Our results indicate that there exists a negative relationship between external debt and total investment. Furthermore, we find that both total and public external debt lowers the private investment, consistent with debt overhang arguments. On the other hand, there is no relationship between the external debt and government investment.
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Rashid, Intan Maizura Abd, Wan Ahmad Fauzi Wan Husain, Irza Hanie Abu Samah, Hariri Hamzah, Mohammad Harith Amlus, Elsayed Elsiefy, Amirah Hazimah Borhanordin, and Harniyati Hussin. "The impact of healthcare expenditure and healthcare sector growth on Co2 emission using dynamic panel data system GMM estimation model during COVID 19 crisis." In ADVANCES IN FRACTURE AND DAMAGE MECHANICS XX. AIP Publishing, 2023. http://dx.doi.org/10.1063/5.0127915.

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Yang, Juan. "Empirical Study of the Effect of Guangdong Free Trade Zone on Local Economic Growth Based on the System GMM of Dynamic Panel Data Model." In The 2nd International Conference on Internet Finance and Digital Economy. WORLD SCIENTIFIC, 2023. http://dx.doi.org/10.1142/9789811267505_0028.

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Kusrini, Dwi Endah, Brodjol S. S. Ulama, and Mutiah Salamah Chamid. "Generalized Method of Moment Estimation Method Lagrange Multiplier Test for Simultaneous Spatial of Dynamic Panel Data." In 1st International Conference on Mathematics and Mathematics Education (ICMMEd 2020). Paris, France: Atlantis Press, 2021. http://dx.doi.org/10.2991/assehr.k.210508.108.

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Afifah, Dyah Laillyzatul, Swasono Rahardjo, Vita Kusumasari, Purwanto, Toto Nusantara, Nur Atikah, and Nadia Kholifia. "Spatial durbin error model (SDEM) panel data simultaneous equation analysis using generalized method of moment (GMM) for GRDP and unemployment in East Java." In THE 3RD INTERNATIONAL CONFERENCE ON MATHEMATICS AND ITS APPLICATIONS (ICOMATHAPP) 2022: The Latest Trends and Opportunities of Research on Mathematics and Mathematics Education. AIP Publishing, 2024. http://dx.doi.org/10.1063/5.0194399.

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Boschetti, Pedro J., Gabriela Quijada, and Elsa M. Cárdenas. "Dynamic Ground Effect on the Aerodynamic Coefficients of a Wing using a Panel Method." In AIAA Atmospheric Flight Mechanics Conference. Reston, Virginia: American Institute of Aeronautics and Astronautics, 2016. http://dx.doi.org/10.2514/6.2016-3104.

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Laura, Nelson R., I. Delgado-Huayta, Jose L. Azcue, and Juan C. Colque. "Estimation of incident irradiance on a photovoltaic panel by the internal dynamic resistances method." In 2020 IEEE XXVII International Conference on Electronics, Electrical Engineering and Computing (INTERCON). IEEE, 2020. http://dx.doi.org/10.1109/intercon50315.2020.9220266.

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Reports on the topic "Dynamic panel GMM method":

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Chong, Alberto E., and César Calderón. Volume and Quality of Infrastructure and the Distribution of Income: An Empirical Investigation. Inter-American Development Bank, April 2001. http://dx.doi.org/10.18235/0011560.

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We provide evidence on the link between infrastructure development and the distribution of income for the period 1960-1995. To do this, we use several proxies such as roads, railways, telecommunications and energy measures. The approach is comprehensive as cross-country and panel methods are applied. In the latter case, we apply GMM dynamic panel methods in order to minimize for endogeneity problems. Both quantity of infrastructure and quality of infrastructure are negatively linked with income inequality. The quantitative link tends to be stronger in developing countries than the qualitative link. These findings hold when using different econometric methods and most infrastructure measures.
2

Reyes-Tagle, Gerardo, and Jorge E. Muñoz-Ayala. Debt and Economic Growth: Does Size Matter? Evidence from Dynamic Parametric and Static Non-parametric Approaches. Inter-American Development Bank, April 2023. http://dx.doi.org/10.18235/0004818.

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This paper provides new evidence on the effect of debt on economic growth through two alternative methodological approaches. On the one hand, by using a panel error correction model with a sample of 130 countries between 1980 and 2020, we found evidence of the existence of a range of debt-to-GDP ratios for which economic growth remains positive after debt surges. This threshold may lie between 32 percent and 136 percent, with optimal economic growth achieved at an 84 percent debt-to-GDP ratio for the whole sample of countries. The error correction form for the economic growth was dynamically consistent and non-linear with respect to the debt-to-GDP ratio. On the other hand, recent evidence has shown that commodity price volatility increases external debt accumulation for commodity-exporting countries. Still, there is no evidence of the effects of debt surges on these countries' economic growth. This paper provides original insights into the relationship between economic growth and the debt-to-GDP ratio for commodity and non-commodity-driven economies by employing a regression discontinuity design (RDD) approach. This method allows us to estimate differences in economic growth around an estimated threshold without assuming any specific function for the underlying relationship between the two variables. Our findings suggest that non-commodity-driven economies benefit from a higher threshold (85 percent) than commodity-exporting economies (50 percent).
3

Beuermann, Diether, Bridget Hoffmann, Marco Stampini, David Vargas, and Diego A. Vera-Cossio. Shooting a Moving Target: Choosing Targeting Tools for Social Programs. Inter-American Development Bank, January 2024. http://dx.doi.org/10.18235/0005502.

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A key challenge for policymakers is how to design methods to select beneficiaries of social programs when income is volatile and the target population is dynamic. We evaluate a traditional static proxy-means test (PMT) and three policy-relevant alternatives. We use a unique panel dataset of a random sample of households in Colombia's social registry that contains information before, during, and after the 2020 economic crisis. Updating the PMT data does not improve social welfare relative to the static PMT. Relaxing the eligibility threshold reduces the exclusion error, increases the inclusion error, and increases social welfare. A dynamic method that uses data on shocks to estimate a variable component of income reduces exclusion errors and limits the expansion in coverage, increasing social welfare during the economic crisis. We consider these targeting metrics together with the curvature of governments social welfare function and budgetary and political constraints.

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