Finance Econometrics Macro seminar - Marcus Nordström

Marcus Nordström (Lund University) will give a talk in the FEM seminar on Tuesday, January 21st, 2025, at 14:15 in the room Alfa1:1010.

Title: An Improved IV Estimator of Dynamic Panel Data under Constant Variance or a Unit Root

Abstract: This paper introduces a novel dynamic panel data estimator with predetermined or simultaneously determined regressors that accounts for unit-specific effects. The estimator is consistent when the number of cross-section observations (N), time-series observations (T) or both N and T approaches infinity without restrictions on the relative size of N and T with an asymptotically normal distribution when the underlying process is stationary. If the underlying process has a unit root it is asymptotically normal when T is fixed. These properties make it suitable for a wide range of applications. Monte Carlo simulations show that the estimator exhibits superior small sample properties compared to the most commonly used estimators in the literature under several data generating processes (DGP).