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Dynamic Panel Data Models

This paper reviews the recent literature on dynamic panel data models. Throughout the discussion we consider the linear dynamic panel data model with additional endogenous regressors. First we give a broad overview of available methods. We next discuss in more detail the assumption of mean stationarity underlying the system GMM estimator. We discuss causes of deviations from mean stationarity, their consequences and tests for mean stationarity.
Year of publication:
2013-03-07
Authors: Bun, Maurice ; Sarafidis, V.
Institutions: Faculteit Economie en Bedrijfskunde, Universiteit van Amsterdam
Extent:
application/pdf
Series:
Type of publication: Book / Working Paper
Notes:
The text is part of a series UvA-Econometrics Working Papers Number 13-01
Source:
Persistent link: https://www.econbiz.de/10010897005
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