Performance of the Operational Wansbeek-Bekker Estimator for Dynamic Panel Data Models

M Harris, László Mátyás

    Research output: Contribution to journalArticlepeer-review

    Abstract (may include machine translation)

    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.
    Original languageEnglish
    Pages (from-to)149-154
    Number of pages6
    JournalApplied Economics Letters
    Volume7
    DOIs
    StatePublished - 2000

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