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#实证研究中常用计量方法小集子
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Aali-Bujari, A., et al. (2017). "Impact of the stock market capitalization and the banking spread in growth and development in Latin American: A panel data estimation with System GMM." Contaduría y Administración 62(5): 1427-1441.This research is aimed at assessing the impact of the stock market capitalization and the banking spread in per capita economic growth (as a proxy of economic development) in the major Latin American economies during period 1994–2012. To do this, a panel data model is estimated with both system and difference Generalized Method of Moments. The main empirical findings are that economic growth in the countries under study is positively impacted by the stock market capitalization and negatively by the banking spread. Typical problems of multicollinearity and autocorrelation appearing in panel data analysis are corrected under the proposed methodology. Resumen Esta investigación tiene como objetivo evaluar el impacto de la capitalización de mercado de valores y el spread bancario en el crecimiento económico per cápita (como proxy del desarrollo económico) en las principales economías de América Latina durante el período 1994-2012. Para ello, se estima un modelo de datos de panel con el Método Generalizado de Momentos tanto en sistema como en diferencias. Los principales hallazgos empíricos son que el crecimiento económico en los países estudiados es afectado positivamente por la capitalización bursátil y negativamente por el spread bancario. Los problemas típicos de multicolinealidad y autocorrelación que aparece en el análisis de datos de panel son corregidos bajo la metodología propuesta.Acheampong, A. O. (2018). "Economic growth, CO2 emissions and energy consumption: What causes what and where?" Energy Economics 74: 677-692.This paper applies panel vector autoregression (PVAR) along with a system-generalized method of moment (System-GMM) to examine the dynamic causal relationship between economic growth, carbon emissions and energy consumption for 116 countries over the period 1990–2014. Using multivariate model, the empirical results from this study have established key relationships which have important policy implications. First, at the global and regional levels, economic growth does not cause energy consumption. Second, with the exception of the global and Caribbean-Latin America, economic growth has no causal impact on carbon emissions, however, economic growth has a negative impact on carbon emissions at the global level and the Caribbean-Latin America. Third, carbon emissions positively cause economic growth. Fourth, energy consumption positively causes economic growth in sub-Saharan Africa while it negatively causes economic growth at the global, Middle East and North Africa (MENA), Asia-Pacific and Caribbean-Latin America. Fifth, energy consumption positively causes carbon emissions in MENA but causes carbon emissions negatively in sub-Saharan Africa and Caribbean-Latin America. Lastly, with the exception of MENA and the global sample, carbon emissions do not cause energy consumption. The impulse response function shows evidence of Environmental Kuznets curve at the global scale and sub-Saharan Africa. The policy implications of this paper are discussed.Afonso, A. and J. T. Jalles (2020). "Stock flow adjustments in sovereign debt dynamics: The role of fiscal frameworks." International Review of Economics & Finance 65: 1-16.We assess, by means of system GMM, how Stock Flow Adjustments (SFA) affect the debt-to-GDP ratio in a panel of 65 countries (covering both developed and emerging and low-income countries) between 1985-2014. In addition, we inspect the role of fiscal rules in affecting SFAs. We find that SFAs positively contribute to the change in the debt-to-GDP ratio with a coefficient close to one. Fiscal rules in general did not led governments to a systematic use of SFAs to lower budget deficits; however, the existence of fiscal rules with monitor compliance contributes to lower the debt level, although the cyclical deficit partly counteracts this desirable effect. The time period matters: the fall in the debt ratio due to the presence of fiscal rules before the crisis was between 1.7 and 4.2 percent of GDP while after the Global Financial Crisis, revenue and debt-based rules did not contribute to the reduction of debt, which was reinforced with large SFAs.Ahmed, W. M. A. (2020). "Corruption and equity market performance: International comparative evidence." Pacific-Basin Finance Journal 60: 101282.In this study, we explore whether, and to what extent, corruption affects price changes in Islamic and conventional equity markets. For comparison purposes, the investigation is conducted within the separate frameworks of advanced and developing countries, using the two-step system GMM estimator. After controlling for a rich set of determinants of equity price movements, we find that corruption has significant negative effects on stock returns, in both developed and developing economies. Such effects appear to be more pronounced in conventional than in Islamic markets. Furthermore, conventional and Islamic developing-country markets are much more sensitive to corruption than are their respective developed-country counterparts. Our conclusions remain valid after performing a variety of robustness checks. Policy implications are drawn from the findings.Ahn, S. C. and M. F. Perez (2010). "GMM estimation of the number of latent factors: With application to international stock markets." Journal of Empirical Finance 17(4): 783-802.We propose new generalized method of moments (GMM) estimators for the number of latent factors in linear factor models. The estimators are appropriate for data with a large (small) number of cross-sectional observations and a small (large) number of time series observations. The estimation procedure is simple and robust to the configurations of idiosyncratic errors encountered in practice. In addition, the method can be used to evaluate the validity of observable candidate factors. Monte Carlo experiments show that the proposed estimators have good finite-sample properties. Applying the estimators to international stock markets, we find that international stock returns are explained by one strong global factor. This factor is highly correlated with the Fama–French factors from the U.S. stock market. This result can be interpreted as evidence of market integration. We also find two weak factors closely related to markets in Europe and the Americas, respectively.Ben Lahouel, B., et al. (2019). "Accounting for endogeneity and the dynamics of corporate social – Corporate financial performance relationship." Journal of Cleaner Production 230: 352-364.This paper examines the endogeneity problem in studies dealing with corporate social performance and financial performance relationship. Since randomized controlled experiments in the “Business-Research” field are often unfeasible, researchers rely mostly on observational data to make claims about “doing good – doing well” arguments. In response to several strong calls for additional well-crafted empirical research that address endogeneity, we revisit the CSP – CFP relationship, in the airline industry, to understand how endogeneity arises and how to control for it in studies based on observational panel data. We exploit various approaches such as OLS, fixed-effects, fixed-effects IV/2SLS, dynamic system GMM, and GLS estimators. We show the appropriateness behind the use of the dynamic system GMM estimator and its benefits over the fixed-effects estimator. In addition, we demonstrate that results in models that do not account for endogeneity lead to inflated estimations, misleading interpretations and wrong theoretical propositions about the dynamic nature of CSP-CFP relationship.Bennett, D. L. (2019). "Infrastructure investments and entrepreneurial dynamism in the U.S." Journal of Business Venturing 34(5): 105907.Investments in physical infrastructure induce environmental changes that serve both an enabling and disabling function, potentially acting to simultaneously stimulate new business establishment and provoke exit by some incumbent establishments. The opening of a new establishment results in the creation of jobs that did not previously exist. Similarly, the closing of an establishment results in the permanent loss of jobs. I develop a theoretical model that depicts this external enabler/disabler process and test the model's predictions empirically tested using annual state-level data spanning the period 1993–2015. The results from dynamic panel system GMM estimation suggest that public and private infrastructure investments exert opposite effects on dynamism. Whereas private infrastructure investment is positively and significantly associated with the creation of businesses and jobs, public infrastructure investments are associated with the destruction of businesses and jobs. These results point to private infrastructure investment serving primarily an entrepreneurial enabler role and public infrastructure investment an entrepreneurial disabler role.Berk, I., et al. (2018). "Towards a common renewable future: The System-GMM approach to assess the convergence in renewable energy consumption of EU countries." Energy Economics: 103922.This paper investigates whether the contribution of renewable energy sources to primary energy consumption is characterized by a convergence process across core European Union (EU) countries over the period from 1990 to 2014. The System Generalized Method of Moments (GMM) methodology is employed for 5-year span panel data of 14 EU members. The findings indicate strong evidence for both the absolute (unconditional) and conditional convergence of renewables' share in primary energy consumption across EU-14 countries. Moreover, the control variables, namely CO2 emissions per GDP, FDI inward stock and electricity prices contribute to the speed of convergence. Hence, the (implicit) rate of conditional convergence is higher than that of absolute convergence. The empirical evidence suggests that the energy mixes of core EU members have a tendency to become similar in the long-run as the shares of RES in primary energy consumption converge to the average level. Nonetheless, it does not necessarily imply that this average would be 20% target, which is to be achieved by 2020 according to EU directive 2009/28/EC.Bharati, R. and J. Jia (2018). "Do bank CEOs really increase risk in vega? Evidence from a dynamic panel GMM specification." Journal of Economics and Business 99: 39-53.Previous executive compensation studies find that firm risk increases in the risk-taking incentive (vega) of CEOs’ compensation packages. However, the standard methodology of two-stage least squares (2SLS) regression can suffer from invalid instruments. Using a dynamic panel generalized method of moments (GMM) specification to control for dynamic endogeneity, unobserved heterogeneity, and simultaneity (Wintoki, Linck, & Netter, 2012), we find no evidence of a positive relationship between risk and vega for banking firms. Furthermore, across institutions, CEOs’ pay-performance sensitivity (delta) positively relates to the risk. Finally, high-leverage banks and commercial banks seem less prone to risk increases in delta relative to the entire sample of financial institutions. These results are important to investors, boards, regulators, and creditors, as they are all concerned with the risk of the financial institution.Boukhatem, J. (2016). "Assessing the direct effect of financial development on poverty reduction in a panel of low- and middle-income countries." Research in International Business and Finance 37: 214-230.This paper empirically assesses the directly contribution of financial development to poverty reduction in 67 low- and middle-income countries over the period 1986–2012. The main goal of the paper is to identify and quantify the channels through which financial development affects poverty. The results obtained suggest the important contribution of financial development to the reduction of poverty, and this, independently of the econometric techniques used. On the other hand, instability related to the financial development would penalize the poor population and would annihilate the positive effects of financial development. The final battery of tests is motivated by the issues of overidentification and weak instruments in system-GMM estimator. The results show the validity of the exclusion restrictions and the absence of instrument proliferation. Also, they may call into question the pro-poor public investment policy in low- and middle-income countries.Canarella, G. and S. M. Miller (2018). "The determinants of growth in the U.S. information and communication technology (ICT) industry: A firm-level analysis." Economic Modelling 70: 259-271.Using a mildly unbalanced panel data set of 85 U.S. information and communication technology (ICT) firms that survived for 24 years from 1990 to 2013, we examine the effect of firm size, agency costs, R&D investments, capital structure, profitability, and the Great Recession of 2007–2009 on firm growth. We overcome several econometric issues such as the problems of unobserved heterogeneity, persistence, and endogeneity by adopting the system GMM estimator for linear dynamic panel models. We document that firm-specific characteristics drive growth in the ICT industry, contrary to the well-known Gibrat's law. In particular, we find compelling evidence that in the U.S. ICT industry, firm growth depends on firm size. Differing from most findings in the literature, however, small firms in the ICT industry do not grow faster than large firms. We find a non-linear and concave-in-size relationship between growth and size. We also find that: a) firm growth exhibits positive persistence; b) agency costs and financial leverage impede firm growth; and c) R&D investment and financial performance facilitate growth. As expected, the Great Recession (2007–2009) curbed firm growth in the ICT industry.Che, Y., et al. (2013). "The impact of income on democracy revisited." Journal of Comparative Economics 41(1): 159-169.This paper revisits the important issue of whether economic development promotes democracy by using the system-GMM method, which is superior to the difference-GMM method when dependent variables (democracy in this paper) are highly persistent over time. With the same data set as that of Acemoglu et al. (2008), we find that the system-GMM estimated coefficient of income per capita is positive and highly statistically significant, in sharp contrast to the difference-GMM results reported by Acemoglu et al. (2008). Furthermore, employing the US and Colombia as an example, we find that much of the difference in democracy across countries can be explained by the corresponding difference in income per capita.Çoban, S. and M. Topcu (2013). "The nexus between financial development and energy consumption in the EU: A dynamic panel data analysis." Energy Economics 39: 81-88.The relationship between financial development and energy consumption has newly started to be discussed in energy economics literature. This paper investigates this issue in the EU over the period 1990–2011 by using system-GMM model. No significant relationship is found in the EU27. The empirical results, however, provide strong evidence of the impact of the financial development on energy consumption in the old members. Greater financial development leads to an increase in energy consumption, regardless of whether financial development stems from banking sector or stock market. By contrast, we find for the new members that the impact of financial development on energy consumption depends on how financial development is measured. Using bankindex the impact of financial development displays an inverted U-shaped pattern while no significant relationship is detected once it is measured using stockindex.da Silva e Souza, G. and E. G. Gomes (2015). "Management of agricultural research centers in Brazil: A DEA application using a dynamic GMM approach." European Journal of Operational Research 240(3): 819-824.In this paper, we measure the performance for each of the Brazilian Agricultural Research Corporation research centers by means of a Data Envelopment Analysis model. Performance data are available for a panel covering the period 2002–2009. The approach is instrumentalist, in the sense of Ramalho, Ramalho, and Henriques (2010). We investigate the effects on performance of contextual variable indicators related to the intensity of partnerships and revenue generation. For this purpose, we propose a fractional nonlinear regression model and dynamic GMM (Generalized Method of Moments) estimation. We do not rule out the endogeneity of the contextual variables, cross-sectional correlation or autocorrelation within the panel. We conclude that revenue generation and previous performance scores are statistically significant and positively associated with actual performance.da Silva, P. P. and P. A. Cerqueira (2017). "Assessing the determinants of household electricity prices in the EU: a system-GMM panel data approach." Renewable and Sustainable Energy Reviews 73: 1131-1137.A meaningful portion of the consumer basket of European households and companies is embodied by electricity as well as gas or refined petroleum products. As energy products are essential inputs of nearly all final goods and services, whichever change of energy prices has a direct impact of the general price level. In this context, the main purpose of this study is to assess the main drivers of household electricity prices in the European Union (EU), throughout a period of deep sector transformation. Relying on Eurostat data, not only we analyze the long-term progress of household electricity prices across the EU, but also we provide empirical evidence on their determinants while confronting the results with the EU energy policy path. For this purpose a firsthand approach is herein developed based on a dynamic model with panel data through GMM proposal method by Blundell and Bond (1998) [4] with the Windermeijer (2005) [41] correction. The data analysis provides grounds for a relation between the variable of household electricity prices with variables related to sector liberalization, renewable energy sources which support the EU policy to boost liberalization. This study offers evidence that the sector liberalization is accompanied by a decreasing trend in prices, which is consistent with the European Commission's objectives to liberalize.Dithmer, J. and A. Abdulai (2017). "Does trade openness contribute to food security? A dynamic panel analysis." Food Policy 69: 218-230.Despite significant progress in the fight against hunger during the last decades, food insecurity remains a major problem in many countries, especially developing ones. In this study, we use a large cross-country data to investigate the impact of trade openness and other factors on food security, measured by dietary energy consumption. We employ a system GMM approach to account for unobserved heterogeneity, correlated individual effects and potential endogeneity of the explanatory variables. The empirical results reveal that trade openness and economic growth exert positive and significant impacts on dietary energy consumption, and also contribute to improvements in dietary diversity. The results are robust to the inclusion of additional variables capturing specific agro-climatic constraints (e.g. weather-related) and regional/country characteristics and to the sample composition. Most geographical regions are found to have significantly higher food security levels compared to Sub-Saharan Africa. Additional results indicate that besides calorie consumption, trade openness also improves dietary diversity and diet quality-related aspects of food security.Djalilov, K. and J. Piesse (2019). "Bank regulation and efficiency: Evidence from transition countries." International Review of Economics & Finance 64: 308-322.Given the nascent nature of banking sectors in transition countries and their unique institutional settings, this paper documents the effects of regulation on the efficiency of banks using system GMM and dynamic panel quantile regressions for 21 transition countries for the period 2002–2014. Within the system GMM estimation the paper finds bank activity restrictions to be the only regulation improving banking efficiency in these countries. However, the dynamic panel quantile results show that the regulation has different effects at different quantiles. This study provides important policy implications related to banking regulation in transition economies.Donou-Adonsou, F. and K. Sylwester (2017). "Growth effect of banks and microfinance: Evidence from developing countries." The Quarterly Review of Economics and Finance 64: 44-56.We compare lending from microfinance institutions to that from traditional banks and examine their respective effects upon economic growth. Using a panel of 85 developing countries over the period 2002–2013 and the system-GMM estimator, we find that microfinance loans raise growth. We do not find strong evidence that bank loans raise growth. There is, however, some evidence that bank loans do increase investment, whereas microfinance loans do not appear to do so. These results suggest that microfinance loans are not primarily invested as physical capital, but could still augment total factor productivity, whereas banks may have been financing non-productive investments.Ghonghadze, J. and T. Lux (2016). "Bringing an elementary agent-based model to the data: Estimation via GMM and an application to forecasting of asset price volatility." Journal of Empirical Finance 37: 1-19.We explore the issue of estimating a simple agent-based model of price formation in an asset market using the approach of Alfarano et al. (2008) as an example. Since we are able to derive various moment conditions for this model, we can apply generalized method of moments (GMM) estimation. We find that we can get relatively accurate parameter estimates with an appropriate design of the GMM estimator that reduces the biases arising from strong correlations of the estimates of certain parameters. We apply our estimator to a sample of long records of returns of various stock and foreign exchange markets as well as the price of gold. Using the estimated parameters to form the best linear forecasts for future volatility we find that the behavioral model generates sensible forecasts that get close to those of a standard GARCH(1,1) model in their overall performance, and often provide useful information on top of the information incorporated in the GARCH forecasts.Gulati, R., et al. (2019). "What drives credit risk in the Indian banking industry? An empirical investigation." Economic Systems 43(1): 42-62.Using a two-step system GMM approach on a unique bank-level dataset for the period 1998/99–2013/14, this paper tries to explore the key determinants of credit risk in the Indian banking industry. The main premise of this paper is that, along with regulatory and institutional factors, both macroeconomic and bank-specific variables influence the formation of credit risk in a banking system, and their influences vary across ownership groups. The empirical findings suggest that lower profitability, more diversification in the banking business, the large size of banks and a higher concentration of banks in lending increase the probability of defaults in India. We find a significant degree of persistence in credit risk, and the observed persistence is higher in the gross non-performing loans (NPLs) specification relative to what has been observed in the net NPLs specification. In the case of public sector banks, NPLs are more sensitive to internal bank-specific factors, while for private and foreign banks, macroeconomic and industry-related factors play a significant role in determining credit risk. Our results are robust for different panel data estimation models and sub-samples of ownership groups. The findings of this paper provide important insights into the formation of default risk in the banking system of an emerging market economy.Ha, W., et al. (2016). "The dynamic effect of rural-to-urban migration on inequality in source villages: System GMM estimates from rural China." China Economic Review 37: 27-39.Using a newly constructed panel dataset that covers the 14-year period from 1997 to 2011 for more than 100 villages in China, this study analyzes the dynamic effect of rural-to-urban migration on inequality in source villages. Given that income inequality is time persisting, we use a system GMM framework. We found that the dynamic relationship between migration and income inequality is inversely U-shaped. Specifically, contemporary migration increases income inequality, whereas lagged migration has a strong income inequality-reducing effect on the sending villages. A 50 percent increase in the lagged migration rate translates into a one-ninth to one-tenth standard deviation reduction in income inequality.Hassan, S. A. and M. Nosheen (2019). "Estimating the Railways Kuznets Curve for high income nations—A GMM approach for three pollution indicators." Energy Reports 5: 170-186.Railways transportation is still taken as an account of economic growth without considering the cost of environmental damages. Therefore, it is an urgent need at the national and global level to take into account the sustainability of environment by key sector. So this analysis has contributed in unveiling the striking facts and figures for environment with regard to railways transportation sector. The aim of this study is to investigate the “Railways Kuznets Curve” in context of three key pollution emissions Carbondioxide emission, Nitrous oxide emissions and Methane emissions for 37 High income nations during 1990 to 2017. The econometric results of Panel GMM shows that there exists “U shaped” Railways Kuznets curve for carbondioxide and methane emissions indicating increased level of pollution. While nitrous oxide emissions exhibit the “inverted U shaped curve” validating the Railways Kuznets curve. The Pairwise Dumitrescu Hurlin Panel Causality shows a bidirectional relation of nitrous and methane emissions and uni-directional association of CO2 emissions to railways transportation. The Impulse Response function and Variance decomposition indicates a diverging drift of CO2 and CH4 emissions while converging trend of N2O emissions to railways transport sector. The diagnostic test of ARCH-effect and serial correlation shows the homoscedasticity and no autocorrelation along with CUSUM test that shows stability of all the three models. On the basis of econometric results, this analysis suggests that developed nations should focus on exploiting renewable energy resources along with adopting fuel-saving traveler and freight technologies including hybrid switch trains and hydrogen-powered steam engines that thorough cuts the diesel fuel.He, Q. (2015). "Fiscal decentralization and environmental pollution: Evidence from Chinese panel data." China Economic Review 36: 86-100.China's environmental pollution casts a shadow on its economic success. Concerning fiscal decentralization, China introduced the rule-based tax assignment system in 1994. To avoid the structural change in underlying fiscal regimes, we use the provincial panel data during the period 1995–2010. We find that fiscal decentralization has no significant effect on environmental pollution as it is measured per capita emission of wastewater, waste gas or solid waste in system GMM (Generalized method of moments) estimation. Our results are robust when we use different measures of fiscal decentralization. We further find that fiscal decentralization has a significant, positive effect on pollution abatement spending and pollutant discharge fees, which indicates possible mechanisms for fiscal decentralization to help protect the environment.He, Q. and M. Sun (2014). "Does fiscal decentralization promote the inflow of FDI in China?" Economic Modelling 43: 361-371.This paper tests whether China's fiscal decentralization promotes the inflow of foreign direct investment (FDI). Using provincial panel data during 1995–2002, we find that fiscal decentralization has a positive and significant effect on inward FDI, after controlling for other factors, and fixed time and province effects in both LSDV (Least squares dummy variables) regression and system GMM (Generalized method of moments) estimations that address the endogeneity of fiscal decentralization. The results are robust to six measures of fiscal decentralization that consider budgetary amount, extra-budgetary funds and inter-governmental transfers. A simple theory is offered to explain the findings. The results during 1987–1994 are further contrasted. Policy implications are also presented.Heid, B., et al. (2012). "Income and democracy: Evidence from system GMM estimates." Economics Letters 116(2): 166-169.Does higher income cause democracy? Accounting for the dynamic nature and high persistence of income and democracy, we find a statistically significant positive relation between income and democracy for a postwar period sample of up to 150 countries. Our results are robust across different measures of democracy and instrumentation strategies.Jha, C. K. (2019). "Financial reforms and corruption: Evidence using GMM estimation." International Review of Economics & Finance 62: 66-78.This paper assesses the impact of financial reforms on corruption using a panel of 87 countries for 1984–2005. To account for the dynamic nature and high persistence of corruption, the paper employs the difference and system generalized method of moments (GMM) estimators. It finds that policy reforms targeted towards financial liberalization reduce corruption. This result is robust to the inclusion of a number of control variables and the choice of the GMM estimator. Interestingly, the financial liberalization index is found to be positively correlated with corruption though this relationship is not robust. The findings also indicate that legal origins do not impose a binding constraint on the effectiveness of financial reforms in reducing corruption.Kang, Y.-S. and B.-Y. Kim (2012). "Ownership structure and firm performance: Evidence from the Chinese corporate reform." China Economic Review 23(2): 471-481.We employ a new classification of ownership identity to analyze the impact of ownership structure on enterprise performance in China. Using both fixed effects model and Generalized Methods of Moments (GMM), this study finds that marketized state-owned enterprises outperform firms controlled by the government, indicating that partial privatization of state-owned Chinese firms improves corporate governance. Non-controlling large shareholders of marketized state-owned enterprises and private enterprises are found to play active roles in corporate governance. Lastly, there is evidence that ownership concentration of a controlling shareholder decreases the incentives to expropriate minority shareholders.Khémiri, W. and H. Noubbigh (2019). "Does sub-Saharan Africa overinvest? Evidence from a panel of non-financial firms." The Quarterly Review of Economics and Finance.This paper investigates the link between financial leverage and corporate investment for a group of five sub-Saharan African countries. Using firm-level data from 2004 to 2014, we postulate a linear and nonlinear corporate leverage-investment relationship. The results obtained by the system GMM estimation and quadratic methods are aligned with the predictions of the agency theory. We find a non-linear relationship between long-term debt and corporate investment. This translates into the fact that there is an optimal leverage threshold, below which sub-Saharan firms do not face an overinvestment risk. Nevertheless, beyond this threshold, they bear overinvestment risk. Firm-specific (in particular, IFRS and corporate tax) and macroeconomic determinants also play a powerful role in determining the optimal investment strategy.Levenko, N. (2020). "Perceived uncertainty as a key driver of household saving." International Review of Economics & Finance 65: 126-145.The paper studies the determinants of household saving in Europe with particular focus on the impact of labour income uncertainty. Panel data models are estimated on aggregate national-level data for 22 European countries in 1996–2017 using system GMM. The household saving rate is highly persistent and is driven in large part by income growth and by changes in labour income uncertainty, which can be dissected into two components: realised uncertainty and expectations about future uncertainty. Credit availability, interest rates, inflation, and other macroeconomic and expectational variables have little or no effect on saving.Li, T. and Y. Wang (2018). "Growth channels of human capital: A Chinese panel data study." China Economic Review 51: 309-322.This paper studies the growth channels of human capital using the provincial level panel data in post-reform China. Specifically, it aims at distinguishing between the “factor-accumulation channel,” whereby human capital augments production as an input factor, and the “productivity channel,” whereby human capital affects output by raising total factor productivity. Our system GMM estimation results support the hypothesis that different types of human capital affect economic growth through different channels: Basic human capital contributes to growth via the “factor-accumulation channel” and advanced human capital via the “productivity channel,” both individually and simultaneously.Lin, B. and J. Zhu (2019). "Fiscal spending and green economic growth: Evidence from China." Energy Economics 83: 264-271.The green economy is considered as an efficient way for sustainability, but the connection between fiscal spending and green economic growth has not been systematically explained. This paper attempts to fill this research gap. Based on the panel data of 282 prefecture-level cities from 2005 to 2016, we first construct the green economic growth index by using the non-radial direction distance function. Then, by employing the System-GMM estimation, we further evaluate the effect of fiscal education spending and R&D spending on green economic growth. Finally, we explore the potential mechanism and discuss our findings. We obtain the following conclusions: (1) The green economic growth index fluctuated in the study period, we attribute it to the “political tournament” of local governments. (2) The System-GMM estimation results confirm the existence of composition effect and technique effect in the full sample, but the sub-sample analysis suggests that there is a heterogeneous effect in different areas with different resources abundant degree. (3) Mechanism analysis illustrates that fiscal R&D spending and education spending foster the green economic growth through technological activities and human-capital intensive activities, respectively, but they exhibit distinct roles in different areas. Based on these findings, we propose some targeted policy suggestions for promoting green economic growth.Liu, X., et al. (2019). "Does Bank Loan Promote Enterprise Innovation?" Procedia Computer Science 154: 783-789.Based on panel data of Chinese A-share listed companies from 1990 to 2017, this paper analyses the impact of bank loans on technological innovation of enterprises. Through the empirical study of two-stage system GMM, it is found that bank loans promote technological innovation of enterprises. Further research finds that bank loans play the most significant role in promoting technological innovation of listed companies, followed by equity financing and internal financing.Ma, S., et al. (2019). "The influence of trade openness on the level of human capital in China: on the basis of environmental regulation." Journal of Cleaner Production 225: 340-349.In this paper, it is found that environmental regulation is an important mechanism that trade openness affects the level of human capital. The author established a theoretical framework to analyze the influence of trade openness on the level of human capital and adopted the system GMM to test it, using Chinese provincial data over the period 1995–2015. The empirical results show that environmental regulation has a long-term U-shaped effect on the level of human capital, while the current environmental regulation in China is conducive to improving the level of human capital. Furthermore, the promotion of human capital level can also increase the possibility of improving environmental regulation, which is conducive to the internal formation and positive interaction between human capital and environmental regulation. The research further enriches the theory of sustainable development of environment and economy. It provides theoretical support for China and developing countries with similar economic and technological levels to actively implement more stringent environmental policies in the context of trade openness.Matemilola, B. T., et al. (2018). "Does top managers’ experience affect firms’ capital structure?" Research in International Business and Finance 45: 488-498.Recently, the importance of traditional firm-specific determinants of capital structure has been challenged. The paper uses the trade-off theory to investigate the managerial experience of top managers as a determinant of capital structure. The paper applies system-generalized method of moments (GMM) which corrects endogeneity problem. Our results reveal that top managers’ experience is positively related to book value measures of capital structure. As top managers’ (CEOs) experience increases, both the book total debt and long-term debt ratios increase. Our results are robust using both the market total debt and long-term debt ratios. Based on the findings, the results suggest that top managers’ experience is a potential determinant of firms’ capital structure. The findings also suggest that experienced top managers maximize the benefits of debt interest tax-shield; top managers can increase firm value.Nguyen, T., et al. (2014). "A dynamic estimation of governance structures and financial performance for Singaporean companies." Economic Modelling 40: 1-11.In this study, a sample of 257 Singaporean domiciled non-financial listed companies is investigated using a system generalised method of moments (system GMM) estimator. This approach allows for controlling the potential sources of endogeneity which are inherent in the performance–governance relationship. Our findings strongly support the proposition that the relationship between corporate governance structures and firm performance is dynamic by nature. Moreover, our results show that the internal corporate governance structures do matter in Singapore, where the market for corporate control is relatively poor. This study is novel as it is the first to explore the corporate governance–firm performance nexus using a dynamic approach for the Singapore market. This study significantly contributes to a better understanding of international diversity on corporate governance by providing further empirical evidence from an emerging market characterised by the best corporate governance practices in the Asian region.Ogunniyi, A. I., et al. (2020). "Governance quality, remittances and their implications for food and nutrition security in Sub-Saharan Africa." World Development 127: 104752.Despite impressive progress in the fight against malnutrition and hunger in recent years, food and nutrition insecurity remains a major concern in Sub-Saharan Africa (SSA) countries. In this study, we employ a panel data covering 15 SSA countries from 1996 to 2015 to investigate the growth effects of remittances and quality of governance on food and nutrition security, proxied by the average value of food production and the average dietary energy supply adequacy, respectively. We use a dynamic empirical model based on system GMM to control for unobserved heterogeneity and potential endogeneity of the explanatory variables. The empirical results emanating from our analysis show that the interaction of remittances and the composite index of governance quality exerts positive and significant effects on the average value of food production, and also contributes to the improvement of average dietary energy supply adequacy in SSA. In addition, the control of corruption, government effectiveness, political stability and rule of law scores increase both measures of food and nutrition security. Albeit, the contribution of control over corruption score is relatively the largest as compared to other indicators of governance.Oseni, I. O. (2016). "Exchange rate volatility and private consumption in Sub-Saharan African countries: A system-GMM dynamic panel analysis." Future Business Journal 2(2): 103-115.The insurgence of exchange rate volatility over the years has gained the attention of not only the scholars but also the policy makers around the world. Also, its effects on private consumption are a missing gap in the literature most especially in Sub-Saharan African (SSA) Countries. Although, several studies have discussed the consequences of exchange rate volatility to growth but there is no documented empirical evidence on the relationship between exchange rate volatility and private consumption. This paper examines the effect of exchange rate volatility on private consumption in SSA countries using system-GMM dynamic panel and GARCH (1, 1) to generate exchange rate volatility series between 1999 and 2014. The exchange rate volatility series generated through GARCH (1, 1) fulfills the conditions of ARCH effect and volatility clustering. The result of the system-GMM shows that exchange rate volatility has negative and significant effect on private consumption in SSA countries. This result is further confirmed using various diagnostic tests such as Arellano and Bond test of first- and second-order serial correlation and Hansen J-statistic test of model specification and valid overidentified restrictions i.e. validity of instruments. Based on this, the study concludes that exchange rate volatility has significant negative effect on private consumption in SSA countries.Ouyang, Y. and P. Li (2018). "On the nexus of financial development, economic growth, and energy consumption in China: New perspective from a GMM panel VAR approach." Energy Economics 71: 238-252.This paper studies the endogenous relationships among financial development, energy consumption, and economic growth in China by applying a GMM panel VAR approach with a panel data of 30 Chinese provinces over the period 1996Q1–2015Q4. Financial development is measured by six individual indicators and by a comprehensive indicator obtained through the PCA method. We also account for regional heterogeneity by dividing our sample into three regions: eastern region, central region, and western region. We underline our findings in three aspects. First, financial development measured by most individual indicators (m2, credit, revenue of the insurance industry, and stock market value) and the comprehensive one has a significantly negative impact on economic growth. Second, energy consumption can significantly contribute to economic growth in all regions, while no feedback effect is found except in the western region. This result is further supported by the Granger causality tests. Last, financial development in the sense of m2, credit, stock turnover, and the comprehensive indicator can significantly lessen energy consumption in all regions. But this inhibitory effect is found to be largest in the western region, followed by the eastern region, and be smallest in the central region. The Granger causality tests confirm further the existence of heterogeneity across regions. A bidirectional Granger causality between the two variables is found in the eastern region, a unidirectional Granger causality running from energy consumption to financial development is identified in the central region, and no significant causal relationship shows up in the western region. Our findings provide valuable policy implications for China heading for a green economic growth.Phillips, P. C. B. and C. Han (2019). Chapter 5 - Dynamic panel GMM using R☆☆Phillips acknowledges support from a Kelly Fellowship at the University of Auckland. We thank Dr. Hyoungjong Kim for comments on the paper and assistance with the GMM R code and verification of final results. Handbook of Statistics. H. D. Vinod and C. R. Rao, Elsevier. 41: 119-144.GMM methods for estimating dynamic panel regression models are heavily used in applied work in many areas of economics and more widely in the social and business sciences. Software packages in STATA and GAUSS are commonly used in these applications. We provide a new R program for difference GMM, system GMM, and within-group estimation for simulation with the model we consider that is based on a standard first-order dynamic panel regression with individual- and time-specific effects. The program lacks the generality of a full package but provides a foundation for further development and is optimized for speed, making it particularly useful for large panels and simulation purposes. The program is illustrated in simulations that include both stationary and nonstationary cases. Particular attention in the simulations is given to analyzing the impact of fixed effect heterogeneity on bias in system GMM estimation compared with the other methods.Phuc Canh, N., et al. (2019). "Do economic openness and institutional quality influence patents? Evidence from GMM systems estimates." International Economics 157: 134-169.By using GMM estimators for unbalanced panel data, we examine the effects of institutional quality, trade openness, and FDI flows on innovation in 84 countries for the period between 1996 and 2014. Our results show that, although institutional quality appears as a vital driver for patent applications, FDI flows and trade openness have different influences. Precisely, higher inward FDI flows have a positive effect on the number of patents whereas trade openness might have a negative one. We afterwards discuss the influence of institutional quality on these two effects by showing that the effects of economic openness are enhanced by the improvement of institutional quality. These results are important for policy makers in setting-up the short-run and long-run policies to sustain economic growth.Rao, B. B., et al. (2010). "Systems GMM estimates of the Feldstein–Horioka puzzle for the OECD countries and tests for structural breaks." Economic Modelling 27(5): 1269-1273.A systems GMM estimation method is used to estimate the Feldstein–Horioka equation from 1960 to 2007 with a panel of 13 OECD countries. It is found that the Feldstein–Horioka puzzle exists in a weaker form with a much reduced saving retention coefficient. The Bretton Woods agreement in particular seems to have weakened the Feldstein–Horioka puzzle by significantly improving international capital mobility. In comparison the Maastricht agreement seems to have improved capital mobility only by a small magnitude. The Blundell and Bond systems GMM method and structural break tests of Mancini-Griffoli and Pauwels are used in this paper.Rashid Khan, H. U., et al. (2019). "The impact of financial development indicators on natural resource markets: Evidence from two-step GMM estimator." Resources Policy 62: 240-255.The financialization in energy and commodity markets is the overwhelming subject of energy and resource policy, which is exercised in the context of China to analyzed government financial policies to support natural resource markets during the period of 1967–2016. The results show that real interest rate supports energy and resource markets through increased energy production, oil rents, and crop production in a country. Money supply increases fossil fuel energy demand, energy efficiency, and agricultural and livestock production. Domestic credit provided by financial sector is negatively influenced to energy and resource markets with some exceptions. FDI inflows largely influenced soft and hard commodity markets to decrease natural resource rents and agricultural & livestock productions, except total fisheries production, which substantially increases FDI inflows in a country. The commodity prices distorted energy and natural resource markets except for ores and mineral exports that inflamed by higher price level. The growth-specific factors substantially improve the efficiency of energy & resource markets. Thus, the overall debate comes to the conclusion that commodity prices distorted energy and commodity markets, which may be subsidized by sound economic growth, trade liberalization policies, financial development, tight monetary policy, and optimized growth strategies in a country.Rogers, C. L. and C. Wu (2012). "Employment by foreign firms in the U.S.: Do state incentives matter?" Regional Science and Urban Economics 42(4): 664-680.This study investigates the relationship between state-level attributes and employment of workers in the US by foreign owned firms (FDI-related employment, hereafter). In particular, we investigate the role of state-level business incentives in influencing the employment outcomes of foreign-owned manufacturing firms operating in the US. Using data from 50 states between 1999 and 2008, we employ a two-way fixed effects panel data framework and a dynamic system GMM approach to account for the dynamic features of employment outcomes. We also correct for potential measurement errors and potential endogeneity of policy variables. Our results suggest that state business incentives such as providing more foreign-trade zones (both general-purpose and subzones), the provision of better public services and establishing overseas offices in particular countries, have statistically significant effects on employment by foreign-owned firms in the US. The implications have direct bearing regarding the strategic use of investment-promotion policies in terms of employment effects.Sakyi, D., et al. (2018). "Trade facilitation and social welfare in Africa." Journal of African Trade 5(1): 35-53.Improving social welfare in the developing world remains a top priority on the global development agenda, as policymakers and international development partners worldwide strive to meet the Sustainable Development Goals by 2030. Using data on 40 African countries over the period 2010–2015, this paper investigates the extent to which trade facilitation contributes to improving social welfare in Africa. To do so, we construct three indices of trade facilitation capturing infrastructure, institutions, and market efficiency from several primary indicators. With regard to social welfare, we use education (net primary school enrollment rate), child health (under-5 mortality rate), population health (life expectancy), and human development (human development index). The system-GMM estimation technique is employed in order to address the problem of endogeneity. The main finding is that better trade facilitation results in improved social welfare outcomes. Our findings suggest that effective trade facilitation reforms, targeted particularly at improving infrastructure, institutions, and market efficiency, will likely be associated with improvements of social welfare in Africa.Salihu, I. A., et al. (2015). "Foreign investors' interests and corporate tax avoidance: Evidence from an emerging economy." Journal of Contemporary Accounting & Economics 11(2): 138-147.Foreign investment inflows into developing countries has become a cause for concern, as the opportunity for profit shifting across their various operating outlets has made multinational companies tax avoidant in host countries. Thus, this study examines the tax impact of foreign investors' interests within a host developing economy. The sample data were extracted from annual reports of the FTSE Bursa Malaysia Top 100 firms for the financial periods of 2009, 2010 and 2011. Using four similar measures of tax avoidance and three related measures of foreign investors' interest, our analysis of the dynamic panel data with a system GMM estimator shows significant positive relationships between foreign investors' interests and the measures of corporate tax avoidance among large Malaysian companies. This result suggests the possibility of multinational companies exploiting their international scales of operations to avoid taxes in both host and parent countries. Thus, emerging economies need to consider the residual benefits of foreign direct investment in the presence of such tax avoidance in their pursuit of economic development.Smaoui, H. and H. Ghouma (2020). "Sukuk market development and Islamic banks’ capital ratios." Research in International Business and Finance 51: 101064.This paper investigates the impact of Sukuk market development on Islamic banks’ capital ratios using a sample comprising 230 Islamic banks spanning the period 2005–2014. We characterize Islamic bank capital along multiple dimensions, namely: capital adequacy ratio, Tier 1 capital ratio, and capital-to-total assets ratio. We employ both the Prais-Winston technique and the system GMM estimator to tackle potential omitted variable bias, endogeneity, and simultaneity issues. The evidence shows that Sukuk market development has had a negative effect on capital ratios of Islamic banks. We argue that the development of Sukuk markets may have stimulated the competition between Islamic Banks, inducing them to hold lower capital ratios. Our results also show that trade openness and bank liquidity are positively and significantly related to capital ratios, while bank size and loan loss reserve ratio are negatively and significantly related to capital ratios, as expected.Smaoui, H. and S. Nechi (2017). "Does sukuk market development spur economic growth?" Research in International Business and Finance 41: 136-147.We investigate the impact of sukuk market development on economic growth using a sample comprising all sukuk-issuing countries spanning the period 1995–2015. We use the system GMM estimator to tackle potential omitted variable bias, endogeneity, and simultaneity issues. We report a strong and robust evidence that sukuk market development is conducive to economic growth, even after controlling for various measures of financial market development, institutional quality, and classical determinants of economic growth. In addition, the evidence does not support the well-known positive association between financial development and economic growth. We conclude that the development of sukuk markets may have promoted financial inclusion by eliminating the negative effects of religious self-exclusion, which stimulates investment and economic growth.Sung, B., et al. (2018). "How foreign direct investment affects CO2 emission levels in the Chinese manufacturing industry: Evidence from panel data." Economic Systems 42(2): 320-331.This study explores how inflows of foreign direct investment (FDI) affect a country’s carbon dioxide (CO2) emission levels. To investigate this relationship, we use panel data (2002–2015) from the 28 subsectors of the Chinese manufacturing sector. We also perform panel framework analysis to verify the characteristics of the panel data before establishing the panel estimator meant to test the relationships between carbon dioxide emissions, FDI inflows, industrial GDP, industry openness, net domestic fixed capital stock and cleaner production. The results of the panel framework analysis suggest the need to eliminate dynamic panel bias and produce more efficient and consistent parameter estimates. To do so, we use System Generalized Method of Moments (GMM) estimators with time dummies. Ultimately, the results of the analysis show that FDI is a positive predictor of environmental quality in the host country, which serves as evidence of the halo effect that FDI reduces CO2 emission levels. The study also finds evidence that industrial GDP and cleaner production improve environmental quality. However, the domestic capital stock has a negative effect on environmental quality. By showing that past carbon dioxide emissions significantly influence current emissions, our findings demonstrate the importance of consistency and persistence in efforts to reduce those emissions. Accordingly, we discuss some policy implications based on these results.Uddin, M. A., et al. (2017). "Political stability and growth: An application of dynamic GMM and quantile regression." Economic Modelling 64: 610-625.This paper studies the effect of political stability on economic growth by taking 120 developing countries over the period of 1996–2014. We apply relatively advanced dynamic two step system-GMM and quantile regression. Political stability is found to be a key determinant of economic growth. More importantly, political instability (or risk) is found to be higher in the OIC countries and is a deterrent to economic growth. Also, for the lower and middle income OIC countries, political instability appears to affect economic growth more severely perhaps due to the absence of strong economic and political institutions. Moreover, political instability is also found to be significantly higher in the oil-dependent OIC countries. Notably, political instability is likely to affect growth through the channels of investment and human capital accumulation in the developing countries. Finally, the impact of political stability and political instability on growth is found to be equally distributed across the OIC countries with higher or lower growth level. Therefore, the development of political and economic institutions along with human capital development is recommended for all the developing countries in general and the OIC countries in particular.Ullah, S., et al. (2018). "Dealing with endogeneity bias: The generalized method of moments (GMM) for panel data." Industrial Marketing Management 71: 69-78.Endogeneity bias can lead to inconsistent estimates and incorrect inferences, which may provide misleading conclusions and inappropriate theoretical interpretations. Sometimes, such bias can even lead to coefficients having the wrong sign. Although this is a long-standing issue, it is now emerging in marketing and management science, with high-ranked journals increasingly exploring the issue. In this paper, we methodologically demonstrate how to detect and deal with endogeneity issues in panel data. For illustration purposes, we used a dataset consisting of observations over a 15-year period (i.e., 2002 to 2016) from 101 UK listed companies and examined the direct effect of R&D expenditures, corporate governance, and firms' characteristics on performance. Due to endogeneity bias, the result of our analyses indicates significant differences in findings reported under the ordinary least square (OLS) approach, fixed effects and the generalized method of moments (GMM) estimations. We also provide generic STATA commands that can be utilized by marketing researchers in implementing a GMM model that better controls for the three sources of endogeneity, namely, unobserved heterogeneity, simultaneity and dynamic endogeneity.Wang, H. and M. Wang (2020). "Effects of technological innovation on energy efficiency in China: Evidence from dynamic panel of 284 cities." Science of The Total Environment 709: 136172.Technological innovation and energy efficiency are important indicators used to measure the success of the sustainable development strategy in China. This paper aims to explore the total factor energy efficiency (TFEE) at the city level in China and to evaluate the impact of technological innovation on TFEE. Therefore, a two-stage analysis was conducted for the period from 2001 to 2013. The first stage includes an estimation of TFEE scores using the Data Envelopment Analysis (DEA) methodology and Malmquist-Luenberger index, while the second stage includes an exploration of the impact of technological innovation on the TFEE scores obtained in the first stage using a system Generalised Method of Moment (GMM) regression analysis. Based on the results of the Malmquist-DEA, the TFEE of cities in China shows an upward trend overall, but obvious differences in the TFEE are observed among the four regions, with the highest TFEE observed in the eastern region, the second highest TFEE in the central region, a lower TFEE in the northeastern region and the lowest TFEE in the western region. The system GMM regression results reveal a significant positive impact of technological innovation on TFEE at the national level. According to the regional characteristics, the technological innovation in the eastern, western and northeastern regions is particularly important for improving TFEE, but technological innovation in the central region has inhibited the improvement of the TFEE. A logical response to these findings would be to develop different policies for different regions.Xu, J., et al. (2017). "An empirical study on the dynamic effect of regional industrial carbon transfer in China." Ecological Indicators 73: 1-10.The dynamic trend of regional industrial carbon transfer along with industrial transfers in China is currently a hot topic. To explore this problem, the gravity model has been used to study the spatial distribution of industrial transfer and industrial carbon transfer. The results indicate that both barycenters are moving westward. Based on the STIRPAT model, a system-GMM model was then constructed that introduced the industrial transfer factor and its square to explore temporal changes in regional industrial carbon transfer in the course of industrial transfer. The estimated results revealed that the relationship between industrial transfer and industrial carbon transfer displays an inverted U-shaped pattern. For every 1% increase in industrial transfer, there was a 0.327% increase in industrial carbon transfer before the turning point, but industrial carbon transfer decreased by 0.07% when it passed the “peak”. Because no province had surpassed the turning point, carbon transfer during industrial transfer in China is currently in the growth phase. Moreover, real GDP per capita, industrial structure, and industrial carbon emission intensity promoted carbon emissions reduction in the course of industrial transfer.Yao, S., et al. (2016). "Dynamic relationship between China's inward and outward foreign direct investments." China Economic Review 40: 54-70.This paper studies the dynamic relationship of China's inward and outward foreign direct investments (FDI). It first identifies the key determinants of China's outward FDI (OFDI) in 172 host countries during 2003–2009 using a partial stock adjustment model. It finds strong evidence of dynamic adjustment in China's OFDI stock with an agglomeration effect. The dynamic adjustment and agglomeration effects are stronger in “high-tech” countries than in “low-tech” ones but indifferent in host country's resource endowments and income levels. The empirical results suggest that there exists a substantial adjustment cost in China's OFDI and that China's existing OFDI stock can gradually adjust toward its long-term equilibrium level, which is not only greater but also more volatile than the actual stock. Of particular interest is that we find a strong and positive relationship between lagged inward FDI (IFDI) and contemporaneous OFDI, implying that capital outflow from China has been partially induced by the countries which have invested in China.You, K. and O. H. Solomon (2015). "China's outward foreign direct investment and domestic investment: An industrial level analysis." China Economic Review 34: 249-260.In the past decade, China's outward foreign direct investment (FDI) has increased significantly. On the other hand, the Chinese economic growth model is heavily reliant on domestic investment. Our study examines the important issue of how China's domestic investment responds to its FDI outflows. We investigate this issue analyzing, for the first time, China's domestic investment at industrial level. We specifically account for the factor of government support given the significant role played by the state in the Chinese economy. Using industrial level data, we further evaluate whether domestic investment reacts to outward FDI differently between state dominated and non-state dominated industries. Our study adopts an accelerator model where the system-Generalized Method of Moments (GMM) is employed for our estimations. Our empirical results suggest that domestic investment responds positively to outward FDI in China, Furthermore, the FDI outflows influences domestic investment differently depending on the level of government support in the particular industries. Such influence is much stronger in state dominated industries than in the non-state dominated ones.Zouaoui, H. and F. Zoghlami (2020). "On the income diversification and bank market power nexus in the MENA countries: Evidence from a GMM panel-VAR approach." Research in International Business and Finance 52: 101186.This paper investigates the dynamic causal relationship between revenue diversification and bank market power using a broad sample of commercial banks from 17 Middle Eastern and North African (MENA) countries over the period 1993–2014. To do so, we employ the panel vector autoregression (PVAR) approach in a generalized method of moments (GMM) framework. Moreover, we use the impulse response functions (IRFs) tool to better understand the reaction of bank market power aftershocks on revenue diversification and vice-versa. Finally, we supplement our analysis by the forecast error variance decompositions (FEVds) of our variables. Overall, the results show that the level of bank market power declines in response to positive revenue diversification shocks. Conversely, banks with a higher level of market power get more involved in non-traditional activities.对面板数据研究方法和处理技巧感兴趣的学者，可以到社群或小组交流访问。内生性问题的拓展性阅读
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