Mustafa Abdel Aziz Salamh

Department of Statistics, University of Manitoba

“Second Order Least Squares in Linear Dynamic Panel Data Model”

Date: Thursday, March 27, 2014

In this study we proposed a generalization of the Second-Order Least Squares (SLS) in linear dynamic panel data model. The SLS was introduced by Wang (2003, 2004). We used a semiparametric framework where the estimation is based only on the first two conditional moments of response variable given the explanatory variables. There is no need to specify the distribution of the error components. The SLS approach can be considered as a compromise between the Random Effect (RE) and Fixed Effect (FE) approaches.

We showed that the SLS estimator is consistent and asymptotically normal for large $N$ and finite $T$ under fairly general regularity conditions. Moreover, we showed that the optimal SLS estimator reaches a semiparametric efficiency bound. A specification test was developed for the first time to be used whenever the SLS is applied to real data. Our Monte Carlo simulations showed that the optimal SLS estimator performs satisfactorily in finite sample situations compared to the first-differenced GMM and the random effects pseudo ML estimators. The results apply under stationary/nonstationary process and with/without exogenous regressors. The performance of the optimal SLS is robust under near-unit root case. Finally, the practical usefulness of the optimal SLSE was examined by an empirical study on the U.S. airfares.


Congratulations to our October, 2018 graduates: Jenna Tichon (Ph.D.), Kanika Grover (M.Sc.), Mohammed Kamso (M.Sc.), Inesh Munaweera Arachchilage (M.Sc.), Joynob Siddiqua (M.Sc.), Shamsia Sobhan (M.Sc.).

Important Date

October 3: Fee Payment Deadline Fall Term

Upcoming Seminars

Statistics seminar: Bo Li: “Spatially Varying Autoregressive Models for Prediction of New HIV Diagnoses” — Thursday, September 20 at 2:45 p.m., P230 Duff Roblin.

Statistics seminar: Mohammad Jafari Jozani: “Quantile Regression with Nominated Samples: An example in Osteoporosis Analysis” — Thursday, September 27 at 2:45 a.m., P230 Duff Roblin.

Statistics seminar: Yuliya Martsynyuk — Thursday, October 4 at 2:45 a.m., P230 Duff Roblin.

Statistics seminar: Darja Barr: “Evidence Driven Best Practices for Teaching the Mathematical Sciences” — Thursday, October 11 at 2:45 a.m., P230 Duff Roblin.

Where are they now?

Taraneh Abarin, Ph.D. (2009)

Yanqing Yi, Ph.D. (2008)