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...

This paper investigates the behavior of the first-difference(FD) GMM estimator for dynamic panel data models when the persistency of data is (moderately) strong and the initial conditions are unrestricted. We show that both the initial conditions and the degree of persistency affect the rate of...