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

Richard Blundell () and Stephen Bond

Journal of Econometrics, 2023, vol. 234, issue S, 38-55

Abstract: 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.

Keywords: Dynamic panel data; Error components; Weak instruments; Initial conditions; GMM (search for similar items in EconPapers)
JEL-codes: C23 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:234:y:2023:i:s:p:38-55

DOI: 10.1016/j.jeconom.2023.03.001

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