We study the estimation of the lag parameter of linear dynamic panel data models with first order dynamics based on the … asymptotics and mitigates the non-standard distributions found in the literature. Second, we consider an IV estimator based on the … asymptotics hold for the estimator when the cross section dimension is large and the time series dimension is finite. We also …

Phillips and Hansen (1990) that use a spectral [non-parametric] estimation of the residual asymptotic covariance matrix to … introduce new, compact notations for the fixed-b limits of spectral covariance estimators. This permits us to construct T …-consistent semi-parametric estimators: a simple estimator that estimates and subtracts the OLS bias, and a pseudo-exogenised estimator …

are large. We show that the Anderson and Hsiao (1981, 1982) simple instrumental variable estimator (IV) or maximizing the … likelihood function with initial value distribution properly treated (quasi-maximum likelihood estimator) is asymptotically … asymptotically biased of order √(N/T). We also explore the source of the bias of the Arellano and Bond (1991) type GMM estimator. We …