Phillips, Peter C. B. - In: Econometrics : open access journal 8 (2020) 3/30, pp. 1-28
, observational data computations, and Monte Carlo simulations to assess the use of various estimation methodologies, including … massive bias in system GMM estimation of the dynamic panel regression parameters, which arise from fixed effect heterogeneity … across individual station level observations. Difference GMM and Within Group (WG) estimation have little bias and WG …