The Robustness of Estimators for Dynamic Panel Data Models to Misspecification

It is well known that the usual techniques for estimating random and fixed effects panel data models are inconsistent in the dynamic setting. As a consequence, numerous consistent estimators have been proposed in the literature. However, all such estimators rely on certain well defined assumptions, which in practice may often be violated. The purpose of this paper is to ascertain how robust the available estimators are to such misspecifications, thus providing guidance to the applied researcher as to an appropriate choice of estimator in such situations.


Issue Date:
Aug 01 1996
Publication Type:
Working or Discussion Paper
Record Identifier:
http://ageconsearch.umn.edu/record/267911
Language:
English
Total Pages:
32
JEL Codes:
C13; C15; C23
Series Statement:
Working Paper 9/96




 Record created 2018-02-06, last modified 2018-02-07

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