Dynamic Panel Data Models
Maurice Bun () and
No 13-01, UvA-Econometrics Working Papers from Universiteit van Amsterdam, Dept. of Econometrics
This paper reviews the recent literature on dynamic panel data models. Throughout the discussion we consider the linear dynamic panel data model with additional endogenous regressors. First we give a broad overview of available methods. We next discuss in more detail the assumption of mean stationarity underlying the system GMM estimator. We discuss causes of deviations from mean stationarity, their consequences and tests for mean stationarity.
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Persistent link: https://EconPapers.repec.org/RePEc:ame:wpaper:1301
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