We used simulated data to investigate both the small and large sample properties of the within-groups (WG) estimator and the first difference generalized method of moments (FD-GMM) estimator of a dynamic panel data (D...We used simulated data to investigate both the small and large sample properties of the within-groups (WG) estimator and the first difference generalized method of moments (FD-GMM) estimator of a dynamic panel data (DPD) model. The magnitude of WG and FD-GMM estimates are almost the same for square panels. WG estimator performs best for long panels such as those with time dimension as large as 50. The advantage of FD-GMM estimator however, is observed on panels that are long and wide, say with time dimension at least 25 and cross-section dimension size of at least 30. For small-sized panels, the two methods failed since their optimality was established in the context of asymptotic theory. We developed parametric bootstrap versions of WG and FD-GMM estimators. Simulation study indicates the advantages of the bootstrap methods under small sample cases on the assumption that variances of the individual effects and the disturbances are of similar magnitude. The boostrapped WG and FD-GMM estimators are optimal for small samples.展开更多
欧美发达国家债务危机的频繁发生引起国际社会的广泛关注与思考,对其内在原因的深入探讨迅速成为学术界的研究焦点。文章从国防支出的角度出发,通过构建政府债务的动态面板模型,考察国防支出与政府债务之间的关系。以1991—2013年15个...欧美发达国家债务危机的频繁发生引起国际社会的广泛关注与思考,对其内在原因的深入探讨迅速成为学术界的研究焦点。文章从国防支出的角度出发,通过构建政府债务的动态面板模型,考察国防支出与政府债务之间的关系。以1991—2013年15个经济合作与发展组织(organization for economic co-operation and development,OECD)国家为样本,利用两步法系统广义矩估计(generalized method of moments,GMM)进行面板估计,从而得到比之前研究更稳健的估计量。结果表明,经济状况对政府债务规模有显著的消极影响,相反国防支出对其则有显著的积极影响,且作用力度是经济发展状况的4倍多。发达国家可通过适度削减国防开支、大力推动经济发展等措施达到控制债务规模、化解债务危机的目的。展开更多
文摘We used simulated data to investigate both the small and large sample properties of the within-groups (WG) estimator and the first difference generalized method of moments (FD-GMM) estimator of a dynamic panel data (DPD) model. The magnitude of WG and FD-GMM estimates are almost the same for square panels. WG estimator performs best for long panels such as those with time dimension as large as 50. The advantage of FD-GMM estimator however, is observed on panels that are long and wide, say with time dimension at least 25 and cross-section dimension size of at least 30. For small-sized panels, the two methods failed since their optimality was established in the context of asymptotic theory. We developed parametric bootstrap versions of WG and FD-GMM estimators. Simulation study indicates the advantages of the bootstrap methods under small sample cases on the assumption that variances of the individual effects and the disturbances are of similar magnitude. The boostrapped WG and FD-GMM estimators are optimal for small samples.
文摘欧美发达国家债务危机的频繁发生引起国际社会的广泛关注与思考,对其内在原因的深入探讨迅速成为学术界的研究焦点。文章从国防支出的角度出发,通过构建政府债务的动态面板模型,考察国防支出与政府债务之间的关系。以1991—2013年15个经济合作与发展组织(organization for economic co-operation and development,OECD)国家为样本,利用两步法系统广义矩估计(generalized method of moments,GMM)进行面板估计,从而得到比之前研究更稳健的估计量。结果表明,经济状况对政府债务规模有显著的消极影响,相反国防支出对其则有显著的积极影响,且作用力度是经济发展状况的4倍多。发达国家可通过适度削减国防开支、大力推动经济发展等措施达到控制债务规模、化解债务危机的目的。
