NLIV function

Nonlinear Instrumental Variables Estimator - T-Version (NLIV).

NLIV Computes closed form solution for lag parameter of linear dynamic panel data model based on instrumental variables (IV) estimator employing nonlinear moment conditions.

NLIV(dat, varname.i, varname.t, varname.y)

Arguments

• dat: A dataset.
• varname.i: The name of the cross-section identifier.
• varname.t: The name of the time-series identifier.
• varname.y: A character string denoting the name of the dependent variable in the dataset.

Returns

An object of class numeric that contains the coefficient estimate for the lag parameter according to the two roots of the quadratic equation.

Details

The function estimates a linear dynamic panel data model of the form

where $y_{i,t-1}$ is the lagged dependent variable, $\rho_1$ is the lag parameter, $a_i$ is an unobserved individual specific effect, and $\varepsilon_{i,t}$ is an idiosyncratic remainder component. The model structure accounts for unobserved individual specific heterogeneity and dynamics. Note that more general lag structures and further covariates are beyond the scope of the current implementation in pdynmc.

The nonlinear IV estimator employs the original version of the nonlinear moment conditions of \insertCite AhnSch1995;textualpdynmc. More details on the implementation and the properties of the estimator are provided in \insertCite FriPuaSch2024;textualpdynmc.

Examples

## Load data
data(cigDemand, package = "pdynmc")
dat <- cigDemand

## Code example
m1 <- NLIV(dat = dat, varname.i = "state", varname.t = "year", varname.y = "packpc")

References

\insertAllCited

Author(s)

Joachim Schnurbus, Markus Fritsch