Initial conditions and moment restrictions in dynamic panel data models
نویسندگان
چکیده
منابع مشابه
Initial conditions and moment restrictions in dynamic panel data models
Estimation of the dynamic error components model is considered using two alternative linear estimators that are designed to improve the properties of the standard firstdifferenced GMM estimator. Both estimators require restrictions on the initial conditions process. Asymptotic efficiency comparisons and Monte Carlo simulations for the simple AR(1) model demonstrate the dramatic improvement in p...
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ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 1998
ISSN: 0304-4076
DOI: 10.1016/s0304-4076(98)00009-8