The system GMM estimator for dynamic panel data models combines moment conditions for the model in first differences … model in terms of bias and root mean squared error. However, we show in this paper that in the covariance stationary panel … results are shown to extend to the panel data GMM estimators. …

dynamic panel data models. To illustrate particular pitfalls some further Monte Carlo results are produced, obtained from a … moments (GMM) estimators in homoskedastic stable zero-mean panel AR(1) models with random individual specific effects. We …

The finite sample behaviour is analysed of particular least squares (LS) andmethod of moments (MM) estimators in panel …

dynamic panel data models. The estimators are (nearly) unbiased andperform satisfactorily even for small samples in either the …

This paper studies semiparametric identification in linear index discrete response panel data models with fixed effects …. Departing from the classic binary response static panel data model, this paper examines identification in the binary response … dynamic panel data model and the ordered response static panel data model. It is shown that under mild distributional …