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Dynamic Panel Data Models

Maurice Bun () and Vasilis Sarafidis

No 13-01, UvA-Econometrics Working Papers from Universiteit van Amsterdam, Dept. of Econometrics

Abstract: 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.

Date: 2013-03-07
New Economics Papers: this item is included in nep-ecm
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