Performance of the operational Wansbeek-Bekker estimator for dynamic panel data models
Wansbeek and Bekker considered a new estimator for simple dynamic panel data models (where there are no exogenous variables) which involved a complex weighting matrix. An operational variant of this estimator is proposed which is applicable to the more realistic case where there are exogenous variables. Also proposed is an easy-to-compute approximation to the weighting matrix. The performance of this (these) new estimator(s) is examined, revealing very desirable small sample properties in a wide range of situations that the applied researcher is likely to encounter, especially in moderate time series length panels.
Year of publication: |
2000
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Authors: | Harris, Mark ; Matyas, Laszlo |
Published in: |
Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 7.2000, 3, p. 149-153
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Publisher: |
Taylor & Francis Journals |
Saved in:
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