Title: Efficient estimation of dynamic panel data models: Alternative assumptions and simplified estimation
Abstract: This paper considers the estimation of dynamic models for panel data. It shows how to count and express the moment conditions implied by a variety of covariance restrictions. These conditions can be imposed in a GMM framework. Many of the moment conditions are nonlinear in the parameters. We derive a simple linearized estimator that is asymptotically as efficient as the nonlinear GMM estimator, and convenient tests of the validity of the nonlinear restrictions.
Publication Year: 1997
Publication Date: 1997-01-01
Language: en
Type: article
Indexed In: ['crossref']
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Cited By Count: 110
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