期刊名称：Discussion Papers / Ibero America Institute for Economic Research (IAI)
出版年度：2006
卷号：2006
出版社：Ibero America Institute for Economic Research
摘要：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 on market shares and searching for estimation methods that allow
dealing with the problem of inter-temporal and cross-section correlation of the
disturbances. To estimate the coefficients of the ARDL model, FGLS is utilized
within the Three Stage Feasible Generalized Least Squares (3SFGLS) and the
system Generalized Method of Moments (system GMM) methods. A computation of
errors is added to highlight the susceptibility of the model to problems related
to underlying model assumptions.
关键词：Dynamic panel data model, autoregressive distributed lag model; pooled 3Stage
Feasible
