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Mathematical Problems in Engineering
Volume 2014, Article ID 672610, 7 pages
Research Article

Estimation of Nonlinear Dynamic Panel Data Models with Individual Effects

1School of Management, University of Chinese Academy of Sciences, Beijing 100190, China
2School of Economics, Central University of Finance and Economics, Beijing 100081, China
3School of International Trade and Economics, University of International Business and Economics, Beijing 100029, China
4Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing 100190, China

Received 6 December 2013; Accepted 22 January 2014; Published 25 February 2014

Academic Editor: Chuangxia Huang

Copyright © 2014 Yi Hu et al. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.


This paper suggests a generalized method of moments (GMM) based estimation for dynamic panel data models with individual specific fixed effects and threshold effects simultaneously. We extend Hansen’s (Hansen, 1999) original setup to models including endogenous regressors, specifically, lagged dependent variables. To address the problem of endogeneity of these nonlinear dynamic panel data models, we prove that the orthogonality conditions proposed by Arellano and Bond (1991) are valid. The threshold and slope parameters are estimated by GMM, and asymptotic distribution of the slope parameters is derived. Finite sample performance of the estimation is investigated through Monte Carlo simulations. It shows that the threshold and slope parameter can be estimated accurately and also the finite sample distribution of slope parameters is well approximated by the asymptotic distribution.