Dynamic Panel Data Models

Maurice J. G. Bun · Vasilis Sarafidis

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Spatial and Panel Data Analysis Economic Growth and Productivity Statistical Methods and Bayesian Inference

Abstract

This Chapter reviews the recent literature on dynamic panel data models with a short time span and a large cross-section. Throughout the discussion we considerlinear models with additional endogenous covariates. First we give a broad overview of available inference methods placing emphasis on GMM. We next discuss in more detail the assumption of mean stationarity underlying the system GMM estimator. We discuss causes of deviations from mean stationarity, their consequences and tests for mean stationarity.

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1991Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations 1998Initial conditions and moment restrictions in dynamic panel data models 1995Another look at the instrumental variable estimation of error-components models 1978Specification Tests in Econometrics 2021Econometric Analysis of Panel Data 1995Initial conditions and moment restrictions in dynamic panel data models 1981Biases in Dynamic Models with Fixed Effects 2003Analysis of Panel Data

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