Alternative moment conditions and an efficient GMM estimator for dynamic panel data models
Federico Zincenko ()
No 6054, Working Paper from Department of Economics, University of Pittsburgh
This paper proposes a set of moment conditions for the estimation of lineardynamic panel data models. In the spirit of Chamberlain's (1982, 1984)approach, these conditions arise from parameterizing the relationship betweencovariates and unobserved time invariant e ffects. A GMM framework is used toderive an optimal estimator, with no efficiency loss compared to classic alternativeslike Arellano and Bond (1991) and Ahn and Schmidt (1995, 1997). Still,Monte Carlo results suggest that the new procedure peforms better than thesealternatives when covariates are non-stationary. The framework also leads to avery simple test for unobserved eff ects.
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