For the estimation of the parameters involved in a linear dynamic mixed model for panel data, it has been shown recently by Rao, Sutradhar, and Pandit (2012, Brazilian J. of Probability and Statistics, Vol. 26, 167–177) that the so-called generalized quasi-likelihood (GQL) approach produces more efficient regression estimates as compared to the generalized method of moments (GMM) approach. Thes...
