We examine the asymptotic efficiency of OLS and IV estimators in a simple dynamic structural model with a constant and two explanatory variables: the lagged dependent variable and an explanatory variable, which is also autoregressive and may include lagged or instantaneous feedbacks from the...

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...