Efficient estimation of models for dynamic panel data

Seung Ahn; Peter Schmidt

doi:10.1016/0304-4076(94)01641-C

Efficient estimation of models for dynamic panel data

Seung Ahn, Peter Schmidt

Economics

Research output: Contribution to journal › Article › peer-review

538 Scopus citations

Abstract

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 larger number of relevant moment conditions in a dynamic model than they would in a static model.

Original language	English (US)
Pages (from-to)	5-27
Number of pages	23
Journal	Journal of Econometrics
Volume	68
Issue number	1
DOIs	https://doi.org/10.1016/0304-4076(94)01641-C
State	Published - Jul 1995

Keywords

Dynamic model
Fixed effects
Panel data
Random effects

ASJC Scopus subject areas

Economics and Econometrics

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10.1016/0304-4076(94)01641-C

Cite this

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abstract = "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 larger number of relevant moment conditions in a dynamic model than they would in a static model.",

keywords = "Dynamic model, Fixed effects, Panel data, Random effects",

author = "Seung Ahn and Peter Schmidt",

note = "Funding Information: The second author gratefully acknowledges the financial support of the National Science Foundation. We also thank Trevor Breusch for his help with this paper, and several referees for their helpful comments.",

year = "1995",

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PY - 1995/7

Y1 - 1995/7

N2 - 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 larger number of relevant moment conditions in a dynamic model than they would in a static model.

AB - 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 larger number of relevant moment conditions in a dynamic model than they would in a static model.

KW - Dynamic model

KW - Fixed effects

KW - Panel data

KW - Random effects

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Efficient estimation of models for dynamic panel data

Abstract

Keywords

ASJC Scopus subject areas

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