This paper compares the performances of the generalized method of moments (GMM) estimator of dynamic panel data model wherein unobserved individual effects are removed by the forward orthogonal deviation or the first difference. The simulation results show that the GMM estimator of the model...

In this note, we derive the finite sample bias of the modified ordinary least squares (MOLS) estimator, which was suggested by Wansbeek and Knaap (1999) and reconsidered by Hayakawa (2006a,b). From the formula for the finite sample bias, we find that the bias of the MOLS estimator becomes small...

In this note, we derive the finite sample bias of the modified ordinary least squares (MOLS) estimator, which was suggested by Wansbeek and Knaap (1999) and reconsidered by Hayakawa (2006a,b). From the formula for the finite sample bias, we find that the bias of the MOLS estimator becomes small...