Efficient Estimation of Dynamic Panel Data Models: Alternative Assumptions and Simplified Estimation
نویسندگان
چکیده
This paper considers the estimation of dynamic models for panel data. It shows how to count and express the moment conditions implied by a variety of covariance restrictions. These conditions can be imposed in a GMM framework. Many of the moment conditions are nonlinear in the parameters. We derive a simple linearized estimator that is asymptotically as efficient as the nonlinear GMM estimator, and convenient tests of the validity of the nonlinear restrictions.
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