The Robustness of Estimators for Dynamic Panel Data Models to Misspecification

Mark N. Harris, Ritchard J. Longmire and Laszlo Matyas

No 267911, Department of Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics

Abstract: It is well known that the usual techniques for estimating random and fixed effects panel data models are inconsistent in the dynamic setting. As a consequence, numerous consistent estimators have been proposed in the literature. However, all such estimators rely on certain well defined assumptions, which in practice may often be violated. The purpose of this paper is to ascertain how robust the available estimators are to such misspecifications, thus providing guidance to the applied researcher as to an appropriate choice of estimator in such situations.

Keywords: Research; Methods/Statistical; Methods (search for similar items in EconPapers)
Pages: 32
References: Add references at CitEc
Citations:

Downloads: (external link)
https://ageconsearch.umn.edu/record/267911/files/monash-218.pdf (application/pdf)
https://ageconsearch.umn.edu/record/267911/files/monash-218.pdf?subformat=pdfa (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ags:monebs:267911

DOI: 10.22004/ag.econ.267911

Access Statistics for this paper

More papers in Department of Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics Contact information at EDIRC.
Bibliographic data for series maintained by AgEcon Search ().