On bias, inconsistency, and efficiency of various estimators in dynamic panel data models

DOI10.1016/0304-4076(94)01643-EzbMath0831.62096MaRDI QIDQ1899226

Jan F. Kiviet

Publication date: 13 February 1996

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

tablessimulationpanel dataunobserved heterogeneitybias correctiongeneralized method of moments estimatorsinstrumental variable type estimatorslagged dependent explanatory variablesleast-squares dummy variables estimator

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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• On the Rigour of Some Misspecification Tests for Modelling Dynamic Relationships
• Biases in Dynamic Models with Fixed Effects
• Estimation of Dynamic Models with Error Components
• Benefits and limitations of panel data
• Neglected dynamics in panel data models; consequences and detection in finite samples*
• Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations

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