Reprint of: Initial conditions and moment restrictions in dynamic panel data models

Estimation of the dynamic error components model is considered using two alternative linear estimators that are designed to improve the properties of the standard first-differenced GMM estimator. Both estimators require restrictions on the initial conditions process. Asymptotic efficiency comparison...

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Vydané v:Journal of econometrics Ročník 234; s. 38 - 55
Hlavní autori: Blundell, Richard, Bond, Stephen
Médium: Journal Article
Jazyk:English
Vydavateľské údaje: Elsevier B.V 01.03.2023
Predmet:
Dynamic panel data
econometrics
Error components
GMM
Initial conditions
labor
Weak instruments
Weak instruments
Dynamic panel data
Initial conditions
C23
GMM
Error components
ISSN:0304-4076, 1872-6895
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Shrnutí:Estimation of the dynamic error components model is considered using two alternative linear estimators that are designed to improve the properties of the standard first-differenced GMM estimator. Both estimators require restrictions on the initial conditions process. Asymptotic efficiency comparisons and Monte Carlo simulations for the simple AR(1) model demonstrate the dramatic improvement in performance of the proposed estimators compared to the usual first-differenced GMM estimator, and compared to non-linear GMM. The importance of these results is illustrated in an application to the estimation of a labour demand model using company panel data.
Bibliografia:ObjectType-Article-1
SourceType-Scholarly Journals-1
ObjectType-Feature-2
content type line 23
ISSN:0304-4076
1872-6895
DOI:10.1016/j.jeconom.2023.03.001