Barbosa, Jose Diogo; Moreira, Marcelo J. - 2017 - This version: January 16, 2017
Lancaster (2002) proposes an estimator for the dynamic panel data model with homoskedastic errors and zero initial conditions. In this paper, we show this estimator is invariant to orthogonal transformations, but is inefficient because it ignores additional information available in the data. The...
