An extensive literature in econometrics focuses on finding the exact and approximate first and second moments of the least-squares estimator in the stable first-order linear autoregressive model with normally distributed errors. Recently, Kiviet and Phillips (2005) developed approximate moments...

An extensive literature in econometrics focuses on finding the exact and approximate first and second moments of the least-squares estimator in the stable first-order linear autoregressive model with normally distributed errors. Recently, Kiviet and Phillips (2005) developed approximate moments...

We consider the problem of instrumental variable estimation of semipara-metric dynamic panel data models. We propose several new semiparametric instrumental variable estimators for estimating a dynamic panel data model. Monte Carlo experiments show that the new estimators perform much better...