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

Seung Ahn, Peter Schmidt

Research output: Contribution to journalArticle

43 Citations (Scopus)

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
StatePublished - Jan 1997

Fingerprint

Efficient Estimation
Panel Data
Data Model
Moment Conditions
Alternatives
Restriction
Estimator
Dynamic Model
Count
Express
Efficient estimation
Dynamic panel data model
Moment conditions

Keywords

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

ASJC Scopus subject areas

  • Economics and Econometrics
  • Finance
  • Statistics and Probability

Cite this

Efficient estimation of dynamic panel data models : Alternative assumptions and simplified estimation. / Ahn, Seung; Schmidt, Peter.

In: Journal of Econometrics, Vol. 76, No. 1-2, 01.1997, p. 309-321.

Research output: Contribution to journalArticle

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