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dc.contributor.authorLi, Guangjieen
dc.date.accessioned2010-02-24-
dc.date.accessioned2012-11-02T14:26:46Z-
dc.date.available2012-11-02T14:26:46Z-
dc.date.issued2009-
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
dc.language.isoengen
dc.publisher|aCardiff University, Cardiff Business School |cCardiffen
dc.relation.ispartofseries|aCardiff Economics Working Papers |xE2009/5en
dc.subject.jelC52en
dc.subject.jelC11en
dc.subject.jelC13en
dc.subject.jelC15en
dc.subject.ddc330en
dc.subject.keyworddynamic panel data model with fixed effecten
dc.subject.keywordincidental parameter problemen
dc.subject.keywordconsistency in estimationen
dc.subject.keywordmodel selectionen
dc.subject.keywordBayesian Model Averagingen
dc.subject.keywordfinance and growthen
dc.subject.stwPanelen
dc.subject.stwBayes-Statistiken
dc.subject.stwSchätztheorieen
dc.subject.stwSimulationen
dc.subject.stwAktienmarkten
dc.subject.stwWirtschaftswachstumen
dc.subject.stwTheorieen
dc.titleConsistent estimation, model selection and averaging of dynamic panel data models with fixed effect-
dc.typeWorking Paperen
dc.identifier.ppn594932149en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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