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EFFICIENT ESTIMATION OF MODELS FOR DYNAMIC PANEL-DATA
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DOI：10.1016/0304-4076(94)01641-C.png)
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Abstract
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In this paper we consider a dynamic model for panel data. We show that, under standard assumptions, there are more moment conditions than are currently exploited in the literature. Some of these are linear, but others are quadratic, so that nonlinear GMM is required. We also show that exogenous regressors generate a large number of relevant moment conditions in a dynamic model than they would in a static model.
Keywords:
DYNAMIC MODEL
PANEL DATA
FIXED EFFECTS
RANDOM EFFECTS
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4
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5.2K
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