A Comparative Analysis of Different IV and GMM Estimators of Dynamic Panel Data Models |
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Authors: | Mark N Harris László Mátyás |
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Institution: | Department of Econometrics and Business Statistics, Monash University, Australia;Central European University, Budapest, Hungary;Erudite, Universite Paris XII |
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Abstract: | 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. |
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Keywords: | Panel data Dynamic models Monte Carlo IV and GMM estimators |
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