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dc.contributor.authorLi, Guangjieen_US
dc.date.accessioned2010-02-24en_US
dc.date.accessioned2012-11-02T14:26:46Z-
dc.date.available2012-11-02T14:26:46Z-
dc.date.issued2009en_US
dc.identifier.urihttp://hdl.handle.net/10419/65736-
dc.description.abstractIn the context of an autoregressive panel data model with fixed effect, we examine the relationship between consistent parameter estimation and consistent model selection. Consistency in parameter estimation is achieved by using the tansformation of the fixed effect proposed by Lancaster (2002). We find that such transformation does not necessarily lead to consistent estimation of the autoregressive coefficient when the wrong set of exogenous regressors are included. To estimate our model consistently and to measure its goodness of fit, we argue for comparing different model specifications using the Bayes factor rather than the Bayesian information criterion based on the biased maximum likelihood estimates. When the model uncertainty is substantial, we recommend the use of Bayesian Model Averaging. Finally, we apply our method to study the relationship between financial development and economic growth. Our findings reveal that stock market development is positively related to economic growth, while the effect of bank development is not as significant as the classical literature suggests.en_US
dc.language.isoengen_US
dc.publisherCardiff University, Cardiff Business School Cardiffen_US
dc.relation.ispartofseriesCardiff Economics Working Papers E2009/5en_US
dc.subject.jelC52en_US
dc.subject.jelC11en_US
dc.subject.jelC13en_US
dc.subject.jelC15en_US
dc.subject.ddc330en_US
dc.subject.keyworddynamic panel data model with fixed effecten_US
dc.subject.keywordincidental parameter problemen_US
dc.subject.keywordconsistency in estimationen_US
dc.subject.keywordmodel selectionen_US
dc.subject.keywordBayesian Model Averagingen_US
dc.subject.keywordfinance and growthen_US
dc.subject.stwPanelen_US
dc.subject.stwBayes-Statistiken_US
dc.subject.stwSch├Ątztheorieen_US
dc.subject.stwSimulationen_US
dc.subject.stwAktienmarkten_US
dc.subject.stwWirtschaftswachstumen_US
dc.subject.stwTheorieen_US
dc.titleConsistent estimation, model selection and averaging of dynamic panel data models with fixed effecten_US
dc.typeWorking Paperen_US
dc.identifier.ppn594932149en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
Appears in Collections:Cardiff Economics Working Papers, Cardiff Business School, Cardiff University

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