In a general variance component model with positive variance components a short-cut method is presented that yields almost everywhere for these components positive estimators that are invariant with respect to mean value translation and stay near the unbiasedness.

Lancaster (2002) proposes an estimator for the dynamic panel data model with homoskedastic errors and zero initial conditions. In this paper, we show this estimator is invariant to orthogonal transformations, but is inefficient because it ignores additional information available in the data. The...