This paper presents specification tests that are applicable after estimating a dynamic model from panel data by the generalized method of moments (GMM), and studies the practical performance of these procedures using both generated and real data. Our GMM estimator optimally exploits all the linear moment restrictions that follow from the assumption of no serial correlation in the errors, in an equation which contains individual effects, lagged dependent variables and no strictly exogenous variables. We propose a test of serial correlation based on the GMM residuals and compare this with Sargan tests of over-identifying restrictions and Hausman specification tests.

http://people.stern.nyu.edu/wgreene/Econometrics/Arellano-Bond.pdf

Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations.

https://www.ucl.ac.uk/~uctp39a/Blundell-Bond-1998.pdf

Initial conditions and moment restrictions in dynamic panel data models

Another look at the instrumental variable estimation of error-components models

http://homepage.ntu.edu.tw/~ntuperc/docs/publication/2002_25_Lin.pdf

Unit root tests in panel data: asymptotic and finite-sample properties

We examine the reduced-form relationship between per capita income and various environmental indicators. Our study covers four types of indicators: urban air pollution, the state of the oxygen regime in river basins, fecal contamination of ri'ver basins, and contamination of river basins by heavy metals. We find no evidence that environmental quality deteriorates steadily with economic growth. Rather, for most indicators, economic growth brings an initial phase of deterioration followed by a subsequent phase of improvement. The turning points for the different pollutants vary, but in most cases they come before a country reaches a per capita income of $8000. I. INTRODUCTION Will continued economic growth bring ever greater harm to the earth's environment? Or do increases in income and wealth sow the seeds for the amelioration of ecological problems? The answers to these questions are critical for the design of appropriate development strategies for lesser developed countries. Exhaustible and renewable natural resources serve as inputs into the production of many goods and services. If the composition of output and the methods of production were immutable, then damage to the environment would be inextricably linked to the scale of global economic activity. But substantial evidence suggests that development gives rise to a structural transformation in what an economy produces (see Syrquin [1989]). And societies have shown remarkable ingenuity in harnessing new technologies to conserve scarce resources. In principle, the forces leading to change in the composition and techniques of production may be sufficiently strong to more than offset the adverse effects of increased economic activity on the environment. In this paper we address this empirical issue using panel data on ambient pollution levels in many countries. Examination of the empirical relationship between national income and measures of environmental quality began with our *We thank the Ford Foundation, the Sloan Foundation, the John S. Guggenheim Memorial Foundation, the Institute for Policy Reform, and the Centers of International Studies and of Economic Policy Studies at Princeton University for financial support. We are grateful to Peter Jaffee, who tutored us on the various dimensions of water quality, to Robert Bisson, who provided us with the GEMS/ Water data, and to seminar participants at the O.E.C.D. Development Centre and the Institute for International Economic Studies in Stockholm, Sweden, who gave us helpful comments and suggestions. Special thanks go to James Laity, whose research assistance was simply extraordinary.

/pdf/economic-growth-and-the-environment-3is163mqi5.pdf

Economic Growth and the Environment

This paper considers estimation and testing of vector autoregressio n coefficients in panel data, and applies the techniques to analyze the dynamic relationships between wages an d hours worked in two samples of American males. The model allows for nonstationary individual effects and is estimated by applying instrumental variables to the quasi-differenced autoregressive equations. The empirical results suggest the absence of lagged hours in the wage forecasting equation. The results also show that lagged hours is important in the hours equation. Copyright 1988 by The Econometric Society.

Estimating vector autoregressions with panel data

Over the past decade, concern over potential global warming has focused attention on the emission of greenhouse gases into the atmosphere, and there is an active debate concerning the desirability of reducing emissions. At the heart of this debate is the future path of both greenhouse gas emissions and economic development among the nations. We use global panel data to estimate the relationship between per capita income and carbon dioxide emissions, and then use the estimated trajectories to forecast global emissions of CO2. The analysis yields four major results. First, the evidence suggests a diminishing marginal propensity to emit (MPE) CO2 as economies develop; a result masked in analyses that rely on cross-section data alone. Second, despite the diminishing MPE, our forecasts indicate that global emissions of CO2 will continue to grow at an annual rate of 1.8 percent. Third, continued growth stems from the fact that economic and population growth will be most rapid in the lower-income nations that have the highest MPE. For this reason, there will be an inevitable tension between policies to control greenhouse gas emissions and those toward the global distribution of income. Finally, our sensitivity analyses suggest that the pace of economic development does not dramatically alter the future annual or cumulative flow of CO2 emissions.

Stoking the Fires? Co2 Emissions and Economic Growth

We examine why some individuals survive as entrepreneurs and others do not. In addition. we analyze the growth of entrepreneurial enterprises, conditional on surviving. Our focus is on the role of access to capital--to what extent do liquidity constraints increase the likelihood of entrepreneurial failure? The empirical strategy is based on the following logic: If entrepreneurs cannot borrow to attain their profit-maximizing levels of capital, then those entrepreneurs who have substantial personal financial resources will be more successful than those who do not. The data consist of the 1981 and 1985 federal individual income tax returns of a group of people who received inheritances. These data allow us to identify those individuals who were sole proprietors in 1981, and to determine the extent to which the decision to remain a sole proprietor was influenced by the magnitude of the inheritance-induced increase in liquidity. The results are consistent with the notion that liquidity constraints exert a noticeable ifluence on the viability of entrepreneurial enterprises. For example, a $150,000 inheritance increases the probability that an individual will continue as a sole proprietor by 1.3 percentage points, and conditional on surviving, the receipts of the enterprise increase by almost 20 percent.

Sticking It Out: Entrepreneurial Survival and Liquidity Constraints

https://www.nber.org/system/files/working_papers/w4248/w4248.pdf

Stoking the fires? CO2 emissions and economic growth

A number of studies have suggested a quantitatively important relationship between public-sector capital accumulation and private sector productivity, with the most compelling evidence derived from analyses of state-level data. Estimates herein of production functions that use standard techniques to control for unobserved, state-specific characteristics, however, reveal essentially no role for public-sector capital in affecting private sector productivity. Only estimates of state production functions that do not include such controls find substantial productivity impacts. This result reconciles existing econometric estimates with the findings of Hulten and Schwab based on growth accounting techniques, as such techniques effectively control for state-specific effects. Region-level estimates are essentially identical to those from state data, suggesting no quantitatively important spillover effects across states.

https://papers.ssrn.com/sol3/Delivery.cfm/nber_w4122.pdf?abstractid=420294&mirid=1&type=2

Douglas Holtz-Eakin

Papers

Estimating vector autoregressions with panel data

Stoking the Fires? Co2 Emissions and Economic Growth

Sticking It Out: Entrepreneurial Survival and Liquidity Constraints

Stoking the fires? CO2 emissions and economic growth

Public-Sector Capital and the Productivity Puzzle