Efficient estimation of dynamic panel data models: Alternative assumptions and simplified estimation

Seung Ahn, Peter Schmidt

Research output: Contribution to journalArticle

45 Scopus citations

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.

Original languageEnglish (US)
Pages (from-to)309-321
Number of pages13
JournalJournal of Econometrics
Volume76
Issue number1-2
DOIs
StatePublished - Jan 1 1997

Keywords

  • Conditional moment tests
  • Dynamic models
  • GMM estimation
  • Panel data
  • Stationarity

ASJC Scopus subject areas

  • Economics and Econometrics

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