A Comparative Analysis of Different IV and GMM Estimators of Dynamic Panel Data Models
Harris, Mark N. ; Mátyás, László
Internat. Statist. Rev., Tome 72 (2004) no. 1, p. 397-408 / Harvested from Project Euclid
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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.
Publié le : 2004-12-14
Classification:  Panel data,  Dynamic models,  Monte Carlo,  IV and GMM estimators 
@article{1102516479,
     author = {Harris, Mark N. and M\'aty\'as, L\'aszl\'o},
     title = {A Comparative Analysis of Different IV and GMM Estimators of Dynamic Panel Data Models},
     journal = {Internat. Statist. Rev.},
     volume = {72},
     number = {1},
     year = {2004},
     pages = { 397-408},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1102516479}
}

Harris, Mark N.; Mátyás, László. A Comparative Analysis of Different IV and GMM Estimators of Dynamic Panel Data Models. Internat. Statist. Rev., Tome 72 (2004) no. 1, pp.  397-408. http://gdmltest.u-ga.fr/item/1102516479/