The system GMM estimator for dynamic panel data models combines moment conditions for the model in first differences with moment conditions for the model in levels. It has been shown to improve on the GMM estimator in the first differenced model in terms of bias and root mean squared error....

This paper analyzes a growing group of fixed T dynamic panel data estimators with a multi-factor error structure. We use a unified notational approach to describe these estimators and discuss their properties in terms of deviations from an underlying set of basic assumptions. Furthermore, we...

This paper considers panel data regression models with weakly exogenous or endogenous regressors and residuals generated by a multi-factor error structure. In this case, the standard dynamic panel estimators fail to provide consistent estimates of the parameters. We propose a new estimation...

This paper proposes a new instrumental variables approach for consistent and asymptotically efficient estimation of panel data models with weakly exogenous or endogenous regressors and residuals generated by a multifactor error structure. In this case, the standard dynamic panel estimators fail...