Bun, Maurice; Kleibergen, Frank - Faculteit Economie en Bedrijfskunde, Universiteit van … - 2013
We show that Dif(ference), see Arellano and Bond (1991), Lev(el), see Arellano and Bover (1995) and Blundell and Bond (1998), or the N(on-)L(inear) moment conditions of Ahn and Schmidt (1995) do not identify the parameters of a first-order autoregressive panel data model when the autoregressive...