A comparative analysis of different IV and GMM estimators of dynamic panel data models

Mark N. Harris; László Mátyás

doi:10.1111/j.1751-5823.2004.tb00244.x

A comparative analysis of different IV and GMM estimators of dynamic panel data models

Mark N. Harris, László Mátyás

Research output: Contribution to journal › Review Article › peer-review

Abstract (may include machine translation)

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 ́ Mátyás. 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.

Original language	English
Pages (from-to)	397-408
Number of pages	12
Journal	International Statistical Review
Volume	72
Issue number	3
DOIs	https://doi.org/10.1111/j.1751-5823.2004.tb00244.x
State	Published - Dec 2004

Keywords

Dynamic models
IV and GMM estimators
Monte Carlo
Panel data

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10.1111/j.1751-5823.2004.tb00244.x

Cite this

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abstract = "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{\' } M{\'a}ty{\'a}s. 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.",

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KW - Monte Carlo

KW - Panel data

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JO - International Statistical Review

JF - International Statistical Review

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A comparative analysis of different IV and GMM estimators of dynamic panel data models

Abstract (may include machine translation)

Keywords

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