Dynamic panel data models: a guide to microdata methods and practice

Stephen R. Bond

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

Abstract

This paper reviews econometric methods for dynamic panel data models, and presents examples that illustrate the use of these procedures. The focus is on panels where a large number of individuals or firms are observed for a small number of time periods, typical of applications with microeconomic data. The emphasis is on single equation models with autoregressive dynamics and explanatory variables that are not strictly exogenous, and hence on the Generalised Method of Moments estimators that are widely used in this context. Two examples using firm-level panels are discussed in detail: a simple autoregressive model for investment rates; and a basic production function.

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References

1991Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations 1995Another look at the instrumental variable estimation of error-components models 1995Initial conditions and moment restrictions in dynamic panel data models 1981Biases in Dynamic Models with Fixed Effects 2003Analysis of Panel Data 1988Estimating Vector Autoregressions with Panel Data 1982Formulation and estimation of dynamic models using panel data 1981Estimation of Dynamic Models with Error Components

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