Performance of the operational Wansbeek-Bekker estimator for dynamic panel data models

Mark Harris and Laszlo Matyas ()

Applied Economics Letters, 2000, vol. 7, issue 3, 149-153

Abstract: Wansbeek and Bekker considered a new estimator for simple dynamic panel data models (where there are no exogenous variables) which involved a complex weighting matrix. An operational variant of this estimator is proposed which is applicable to the more realistic case where there are exogenous variables. Also proposed is an easy-to-compute approximation to the weighting matrix. The performance of this (these) new estimator(s) is examined, revealing very desirable small sample properties in a wide range of situations that the applied researcher is likely to encounter, especially in moderate time series length panels.

Date: 2000
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DOI: 10.1080/135048500351690

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