TY - JOUR
T1 - Performance of the Operational Wansbeek-Bekker Estimator for Dynamic Panel Data Models
AU - Harris, M
AU - Mátyás, László
PY - 2000
Y1 - 2000
N2 - Wansbeek and Bekker considered a new estimator for simple dynamic panel data models (where there are no exogenous variables) which involved a complex weighting matrix. An operational variant of this estimator is proposed which is applicable to the more realistic case where there are exogenous variables. Also proposed is an easy-to-compute approximation to the weighting matrix. The performance of this (these) new estimator(s) is examined, revealing very desirable small sample properties in a wide range of situations that the applied researcher is likely to encounter, especially in moderate time series length panels.
AB - Wansbeek and Bekker considered a new estimator for simple dynamic panel data models (where there are no exogenous variables) which involved a complex weighting matrix. An operational variant of this estimator is proposed which is applicable to the more realistic case where there are exogenous variables. Also proposed is an easy-to-compute approximation to the weighting matrix. The performance of this (these) new estimator(s) is examined, revealing very desirable small sample properties in a wide range of situations that the applied researcher is likely to encounter, especially in moderate time series length panels.
UR - https://m2.mtmt.hu/api/publication/2379786
U2 - 10.1080/135048500351690
DO - 10.1080/135048500351690
M3 - Article
SN - 1350-4851
VL - 7
SP - 149
EP - 154
JO - Applied Economics Letters
JF - Applied Economics Letters
ER -