Through Monte Carlo experiments the small sample behavior is examined of various inference techniques for dynamic panel data models when both the time-series and cross-section dimensions of the data set are small. The LSDV technique and corrected versions of it are compared with IV and GMM...

This study analyzes the testing of cross-equation restrictions within a set of regression equations. Through Monte Carlo experiments we examine the actual size of various asymptotic procedures for testing the poolability hypothesis, i.e., equal slope vectors across individual equations....

See also 'The Euro Effect on Trade is not as Large as commonly thought' in the <I>Oxford Bulletin of Economics and Statistics</I>. Vol. 69, pages 473-496.<P> A major economic reason for the introduction of the euro was its supposedly positive effect on intra-EMU trade. Existing studies examine this...</p></i>

Through Monte Carlo experiments the small sample behavior is examinedof various inference techniques for dynamic panel data models whenboth the time-series and cross-section dimensions of the data set aresmall. The LSDV technique and corrected versions of it are comparedwith IV and GMM...

This discussion paper led to a publication in the <A href="http://www.sciencedirect.com/science/article/pii/S0304407605000618">'Journal of Econometrics'</A> 132(2), 409-44.<P>The finite sample behaviour is analysed of particular least squares (LS) andmethod of moments (MM) estimators in panel data models with individual effectsand both a lagged dependent variabIe regressor and...</p></a>

This discussion paper resulted in a publication in <I>Economics Letters</I>. Vol. 79(2), pages 145-152.<P> The relative magnitudes are compared of successive terms in a higher-order asymptotic expansion of the bias of the LSDV estimator in dynamic panels. We find that the leading term accounts for the...</p></i>

Approximation formulae are developed for the bias of ordinary andgeneralized Least Squares Dummy Variable (LSDV) estimators in dynamicpanel data models. Results from Kiviet (1995, 1999) are extended tohigher-order dynamic panel data models with general covariancestructure. The focus is on...

The system GMM estimator for dynamic panel data models combines moment conditions for the model in first differences with moment conditions for the model in levels. It has been shown to improve on the GMM estimator in the first differenced model in terms of bias and root mean squared error....