Estimation of time-varying coefficient dynamic panel data models

Kazuhiko Hayakawa and Jie Hou

Communications in Statistics - Theory and Methods, 2019, vol. 48, issue 13, 3311-3324

Abstract: In this paper, we consider dynamic panel data models where the autoregressive parameter changes over time. We propose the GMM and ML estimators for this model. We conduct Monte Carlo simulation to compare the performance of these two estimators. The simulation results show that the ML estimator outperforms the GMM estimator.

Date: 2019
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DOI: 10.1080/03610926.2018.1476704

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