A Comparative Analysis of Different IV and GMM Estimators of Dynamic Panel Data Models
It is well known that the usual procedures for estimating panel data models are inconsistent in the dynamic setting. A large number of consistent estimators however, have been proposed in the literature. This paper provides a survey of the majority of mainstream estimators, which tend to consist of...
| Main Authors: | , |
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| Format: | Journal Article |
| Language: | English |
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Wiley-Blackwell Publishing Ltd.
2004
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| Subjects: | |
| Online Access: | http://hdl.handle.net/20.500.11937/81809 |
| _version_ | 1848764424101298176 |
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| author | Harris, Mark Mátyás, L. |
| author_facet | Harris, Mark Mátyás, L. |
| author_sort | Harris, Mark |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | It is well known that the usual procedures for estimating panel data models are inconsistent in the dynamic setting. A large number of consistent estimators however, have been proposed in the literature. This paper provides a survey of the majority of mainstream estimators, which tend to consist of IV and GMM ones. It also considers a newly proposed extension to the promising Wansbeek-Bekker estimator (Harris & Matyas, 2000). To provide guidance to the applied researcher working on micro-datasets, the small sample performance of these estimators is evaluated using a set of Monte Carlo experiments. |
| first_indexed | 2025-11-14T11:19:08Z |
| format | Journal Article |
| id | curtin-20.500.11937-81809 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T11:19:08Z |
| publishDate | 2004 |
| publisher | Wiley-Blackwell Publishing Ltd. |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-818092021-03-16T03:27:43Z A Comparative Analysis of Different IV and GMM Estimators of Dynamic Panel Data Models Harris, Mark Mátyás, L. Panel data, Dynamic models, Monte Carlo, IV and GMM estimators. It is well known that the usual procedures for estimating panel data models are inconsistent in the dynamic setting. A large number of consistent estimators however, have been proposed in the literature. This paper provides a survey of the majority of mainstream estimators, which tend to consist of IV and GMM ones. It also considers a newly proposed extension to the promising Wansbeek-Bekker estimator (Harris & Matyas, 2000). To provide guidance to the applied researcher working on micro-datasets, the small sample performance of these estimators is evaluated using a set of Monte Carlo experiments. 2004 Journal Article http://hdl.handle.net/20.500.11937/81809 10.1111/j.1751-5823.2004.tb00244.x English Wiley-Blackwell Publishing Ltd. restricted |
| spellingShingle | Panel data, Dynamic models, Monte Carlo, IV and GMM estimators. Harris, Mark Mátyás, L. A Comparative Analysis of Different IV and GMM Estimators of Dynamic Panel Data Models |
| title | A Comparative Analysis of Different IV and GMM Estimators of Dynamic Panel Data Models |
| title_full | A Comparative Analysis of Different IV and GMM Estimators of Dynamic Panel Data Models |
| title_fullStr | A Comparative Analysis of Different IV and GMM Estimators of Dynamic Panel Data Models |
| title_full_unstemmed | A Comparative Analysis of Different IV and GMM Estimators of Dynamic Panel Data Models |
| title_short | A Comparative Analysis of Different IV and GMM Estimators of Dynamic Panel Data Models |
| title_sort | comparative analysis of different iv and gmm estimators of dynamic panel data models |
| topic | Panel data, Dynamic models, Monte Carlo, IV and GMM estimators. |
| url | http://hdl.handle.net/20.500.11937/81809 |