Estimation of Linear Panel Data Models Using Gmm

In this chapter we study GMM estimation of linear panel data models. Several different types of models are considered, including the linear regression model with strictly or weakly exogenous regressors, the simultaneous regression model, and a dynamic linear model containing a lagged dependent variable as a regressor. In each case, different assumptions about the exogeneity of the explanatory variables generate different sets of moment conditions that can be used in estimation. This chapter lists the relevant sets of moment conditions and gives some results on simple ways in which they can be imposed. In particular, attention is paid to the question of under what circumstances the efficient GMM estimator takes the form of an instrumental variables estimator.