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Initial Conditions and Moment Restrictions in Dynamic Panel Data Models (1998)
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| Venue: | Journal of Econometrics |
| Citations: | 2393 - 16 self |
BibTeX
@ARTICLE{Blundell98initialconditions,
author = {Richard Blundell and Stephen Bond},
title = {Initial Conditions and Moment Restrictions in Dynamic Panel Data Models},
journal = {Journal of Econometrics},
year = {1998},
pages = {115--143}
}
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Abstract
Estimation of the dynamic error components model is considered using two alternative linear estimators that are designed to improve the properties of the standard firstdifferenced GMM estimator. Both estimators require restrictions on the initial conditions process. Asymptotic efficiency comparisons and Monte Carlo simulations for the simple AR(1) model demonstrate the dramatic improvement in performance of the proposed estimators compared to the usual first-differenced GMM estimator, and compared to non-linear GMM. The importance of these results is illustrated in an application to the estimation of a labour demand model using company panel data.
Keyphrases
moment restriction initial condition dynamic panel data model gmm estimator dynamic error component model simple ar dramatic improvement initial condition process monte carlo simulation usual first-differenced gmm estimator company panel data non-linear gmm labour demand model asymptotic efficiency comparison alternative linear estimator
