The Robustness of Estimators for Dynamic Panel Data Models to Misspecification.

It is well known that the usual techniques for estimating random and fixed effects panel data models are inconsistent in the dynamic setting. As a consequence, numerous consistent estimators have been proposed in the literature. However, all such estimators rely on certain well defined assumption, which in practice my be violated.The purpose of this paper is to ascertain how robust the available estimators are to such misspecifications, thus providing guidance to applied researcher as to an appropriate choice of estimator in such situation.