Mehic, Adrian - In: Journal of risk and financial management : JRFM 14 (2021) 9, pp. 1-9
This paper evaluates the first-differenced maximum likelihood (FDML) and the continuously updating system generalized method of moments (CU-GMM) estimators of dynamic panel models when the data is close to non-stationary. This case is far from trivial, as a high degree of persistence is the norm...