Dynamic panel data models: a guide to microdata methods and practice

Stephen Bond ()
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Stephen Bond: Institute for Fiscal Studies and Nuffield College, Oxford

No CWP09/02, CeMMAP working papers from Centre for Microdata Methods and Practice, Institute for Fiscal Studies

Abstract: This paper reviews econometric methods for dynamic panel data models, and presents examples that illustrate the use of these procedures. The focus is on panels where a large number of individuals or firms are observed for a small number of time periods, typical of applications with microeconomic data. The emphasis is on single equation models with autoregressive dynamics and explanatory variables that are not strictly exogenous, and hence on the Generalised Method of Moments estimators that are widely used in this context. Two examples using firm-level panels are discussed in detail: a simple autoregressive model for investment rates; and a basic production function.

JEL-codes: C23 (search for similar items in EconPapers)
Pages: 35 pp.
Date: 2002-04-03
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (1706)

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