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First Difference or Forward Orthogonal Deviation- Which Transformation Should be Used in Dynamic Panel Data Models?: A Simulation Study

Hayakawa, Kazuhiko - In: Economics Bulletin 29 (2009) 3, pp. 2008-2017

wherein unobserved individual effects are removed by the forward orthogonal deviation or the first difference. The simulation … results show that the GMM estimator of the model transformed by the forward orthogonal deviation tends to work better than …

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