International Statistical Review
- Internat. Statist. Rev.
- Volume 72, Number 3 (2004), 397-408.
A Comparative Analysis of Different IV and GMM Estimators of Dynamic Panel Data Models
It is well known that the usual procedures for estimating panel data models are inconsistent in the dynamic setting. A large number of consistent estimators however, have been proposed in the literature. This paper provides a survey of the majority of mainstream estimators, which tend to consist of IV and GMM ones. It also considers a newly proposed extension to the promising Wansbeek-Bekker estimator (Harris & Mátyás, 2000). To provide guidance to the applied researcher working on micro-datasets, the small sample performance of these estimators is evaluated using a set of Monte Carlo experiments.
Internat. Statist. Rev., Volume 72, Number 3 (2004), 397-408.
First available in Project Euclid: 8 December 2004
Permanent link to this document
Harris, Mark N.; Mátyás, László. A Comparative Analysis of Different IV and GMM Estimators of Dynamic Panel Data Models. Internat. Statist. Rev. 72 (2004), no. 3, 397--408. https://projecteuclid.org/euclid.isr/1102516479