Estimating dynamic panel data models: A guide for macroeconomists

Economics Letters

Volumn 65, Issue 1, 1999, Pages 9-15

  Judson, Ruth A ^a   Owen, Ann L ^b  

^a FEDERAL RESERVE BOARD   (United States)

^b HAMILTON COLLEGE   (United States)

Author keywords

C23; Dynamic model; E00; O11; Panel data; Simulation

Indexed keywords

EID: 0003083292     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/s0165-1765(99)00130-5     Document Type: Article

References (12)

1. Ahn S.C., Schmidt P. Efficient estimation of models for dynamic panel data. Journal of Econometrics. 68:1995;5-27.
2. Anderson T.W., Hsiao C. Estimation of dynamic models with error components. Journal of the American Statistical Association. 76:1981;589-606.
3. Arellano M. A note on the Anderson-Hsiao estimator for panel data. Economic Letters. 31:1989;337-341.
4. Arellano M., Bond S. Some tests of specification for panel data: Monte Carlo evidence and an application to employment equations. Review of Economic Studies. 58:1991;277-297.
5. Blundell R., Bond S. Initial conditions and moment restrictions in dynamic panel data models. Journal of Econometrics. 87:1998;115-143.
6. Bun M.J.G., Kiviet J.F. On the Small Sample Accuracy of Various Inference Procedures in Dynamic Panel Data Models. 1998;University of Amsterdam. Mimeo.
7. Kao, C., 1997. Spurious regression and residual-based tests for cointegration in panel data. Journal of Econometrics, forthcoming.
8. Keane M.P., Runkle D.E. On the estimation of panel-data models with serial correlation when instruments are not strictly exogenous. Journal of Business and Economic Statistics. 10:1992;1-9.
9. Kiviet J.F. On bias, inconsistency, and efficiency of various estimators in dynamic panel data models. Journal of Econometrics. 68:1995;53-78.
10. Nickell S. Biases in dynamic models with fixed effects. Econometrica. 49:1981;1417-1426.
11. Pedroni P. Panel Cointegration: Asymptotics and Finite Sample Properties of Pooled Time Series Tests With an Application To the PPP Hypothesis. 1997;Indiana University. Working Papers in Economics, No. 95-013.
12. Ziliak J.P. Efficient estimation with panel data when instruments are predetermined: an empirical comparison of moment-condition estimators. Journal of Business and Economic Statistics. 15:1997;419-431.