We examine the asymptotic properties of IV, GMM or MLE to estimate dynamic panel data models when either N or T or both are large. We show that the Anderson and Hsiao (1981, 1982) simple instrumental variable estimator (IV) or maximizing the likelihood function with initial value distribution...

In this paper we study a statistical method of implementing quasi-Bayes estimators for nonlinear and nonseparable GMM models, that is motivated by the ideas proposed in the literature that combines simulation with nonparametric regression in the computation of GMM models. We provide formal...