Chernozhukov, Victor; Fernández-Val, Iván; Huang, Chen; … - 2024
The Arellano-Bond estimator is a fundamental method for dynamic panel data models, widely used in practice. However …, the estimator is severely biased when the data's time series dimension T is long due to the large degree of …-section data at each time period to construct most informative (and cross-fitted) instruments, using lagged values of suitable …