Website of
Examples of Dynamic Panel Data Estimation Using TSP:
Monte Carlo Simulator and Results
by Yoshitsugu Kitazawa, Faculty of Economics, Kyushu Sangyo University, Japan
First design 2004.06.09. Last update 2004.06.09
In this website, a TSP example script for carrying out the Monte Carlo experiments and its results are presented. The script uses the routines that generate the same estimation results as Ox version DPD scripts by Professor Doornik, Professor Arellano, and Professor Bond. The DGP for the Monte Carlo experiments is described in “DGP for dynamic panel data model” below.
TSP script carrying out the Monte Carlo simulations for dynamic panel
data model
Note: Run the simulation script after putting the including files in
the same directory as the simulation script and setting values of the DGP
parameters in the including file “tmpprm.tsp”. The script is written on the
accumulation of the past technical supports by Professor Bronwyn Hall and Dr.
Clint Cummins.
<Simulation Script and Including
Files>
Simulation Script: mcdpd1.tsp
Including Files: cov1spdm.tsp cov1ssys.tsp cov2stpm.tsp evdgen.tsp mattrim1.tsp st3_dgp.tsp tmpprm.tsp
<Simulation Results>
[At 
]
mc_25_7_100_2.out
for 
, 
, 
, and 
.
mc_25_7_100_5.out
for 
, 
, 
, and 
.
mc_25_7_100_8.out
for 
, 
, 
, and 
.
mc_25_7_500_2.out
for 
, 
, 
, and 
.
mc_25_7_500_5.out
for 
, 
, 
, and 
.
mc_25_7_500_8.out
for 
, 
, 
, and 
.
mc_25_7_1000_2.out
for 
, 
, 
, and 
.
mc_25_7_1000_5.out
for 
, 
, 
, and 
.
mc_25_7_1000_8.out
for 
, 
, 
, and 
.
mc_100_7_100_2.out
for 
, 
, 
, and 
.
mc_100_7_100_5.out
for 
, 
, 
, and 
.
mc_100_7_100_8.out
for 
, 
, 
, and 
.
mc_100_7_500_2.out
for 
, 
, 
, and 
.
mc_100_7_500_5.out
for 
, 
, 
, and 
.
mc_100_7_500_8.out
for 
, 
, 
, and 
.
mc_100_7_1000_2.out
for 
, 
, 
, and 
.
mc_100_7_1000_5.out
for 
, 
, 
, and 
.
mc_100_7_1000_8.out
for 
, 
, 
, and 
.
mc_400_7_100_2.out
for 
, 
, 
, and 
.
mc_400_7_100_5.out
for 
, 
, 
, and 
.
mc_400_7_100_8.out
for 
, 
, 
, and 
.
mc_400_7_500_2.out
for 
, 
, 
, and 
.
mc_400_7_500_5.out
for 
, 
, 
, and 
.
mc_400_7_500_8.out
for 
, 
, 
, and 
.
mc_400_7_1000_2.out
for 
, 
, 
, and 
.
mc_400_7_1000_5.out
for 
, 
, 
, and 
.
mc_400_7_1000_8.out
for 
, 
, 
, and 
.
DGP for dynamic panel data model
Data generating process (DGP) used in the set of the
scripts for the Monte Carlo experiments above is as follows:
,
, for
,
,
, for
,
where 
, and 
and 
are mutually
independent. 
, 
, and 
are the number
of time periods, the number of individuals, and the number of replications,
respectively.
In the including file “tmpprm.tsp”, we set the parameters for the Monte Carlo experiments:
alpha for 
s2_eta for 
s2_v for 
ntrial for 
nob for 
lt for 
.
For example, when the description
set alpha = 0.800000 ;
set s2_eta = 4.000000 ;
set s2_v = 1.000000 ;
set ntrial = 500.000000 ;
set nob = 1000.000000 ;
set lt = 7.000000 ;
are conducted in the including file “tmpprm.tsp”, the Monte Carlo DGP values are set as
,
,
,
,
,
.
A zipped file of the scripts in this website and this index file is downloadable from here.
On Query, E-mail: kitazawa@ip.kyusan-u.ac.jp