Dynamic panel data models
| Authors |
|
|---|---|
| Publication date | 2013 |
| Series | UvA-Econometrics Discussion Paper, 2013/01 |
| Number of pages | 36 |
| Publisher | University of Amsterdam |
| Organisations |
|
| Abstract | This Chapter reviews the recent literature on dynamic panel data models with a short time span and a large cross-section. Throughout the discussion we considerlinear models with additional endogenous covariates. First we give a broad overview of available inference methods placing emphasis on GMM. We next discuss in more detail the assumption of mean stationarity underlying the system GMM estimator. We discuss causes of deviations from mean stationarity, their consequences and tests for mean stationarity. |
| Document type | Working paper |
| Note | This version: 1 July 2013 |
| Language | English |
| Downloads |
1310fulltext.pdf
(Submitted manuscript)
|
| Permalink to this page | |