Semiparametric EÆcient Estimation of Dynamic Panel Data Models
نویسندگان
چکیده
This paper extends the semiparametric eÆcient treatment of panel data models pursued by Park and Simar (1994) and Park, Sickles, and Simar (1998, 2003) to a dynamic panel setting. We develop a semiparametric eÆcient estimator under minimal assumptions when the panel model contains a lagged dependent variable. We apply this new estimator to analyze the structure of demand between city pairs for selected U. S. airlines during the period 1979 I to 1992 IV. Research of B. U. Park was supported by the Korea Research Foundation Grant KRF-2002-070-C00017. Research support from \Projet d'Actions de Recherche Concert ees" (No. 98/03{217) from the Belgian Government is acknowledged.
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