Estimation of Time-Varying Coefficient Dynamic Panel Data Models

In this paper, we consider dynamic panel data models where the autoregressive parameter changes over time. We propose the GMM and ML estimators for this model. We conduct Monte Carlo simulation to compare the performance of these two estimators. The simulation results show that the ML estimator outperforms the GMM estimator

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Year of publication:	2017
Authors:	Hayakawa, Kazuhiko
Other Persons:	Hou, Jie (contributor)
Publisher:	[2017]: [S.l.] : SSRN
Subject:	Panel \| Panel study \| Schätztheorie \| Estimation theory \| Schätzung \| Estimation \| Dynamische Wirtschaftstheorie \| Economic dynamics \| Momentenmethode \| Method of moments

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