In this paper we consider GMM based estimation and inference for the panel AR(1) model when the data are persistent and the time dimension of the panel is fixed. We find that the nature of the weak instruments problem of the Arellano-Bond estimator depends on the distributional properties of the...

In this paper we show that the Quasi ML estimation method yields consistent Random and Fixed Effects estimators for the autoregression parameter ρ in the panel AR(1) model with arbitrary initial conditions even when the errors are drawn from heterogenous distributions. We compare both...