Authors
Seung C Ahn, Peter Schmidt
Publication date
1997/2/28
Journal
Journal of Econometrics
Volume
76
Issue
1
Pages
309-321
Publisher
North-Holland
Description
This paper considers the estimation of dynamic models for panel data. It shows how to count and express the moment conditions implied by a variety of covariance restrictions. These conditions can be imposed in a GMM framework. Many of the moment conditions are nonlinear in the parameters. We derive a simple linearized estimator that is asymptotically as efficient as the nonlinear GMM estimator, and convenient tests of the validity of the nonlinear restrictions.
Total citations
Scholar articles
Efficient estimation of dynamic panel data models: Alternative assumptions and simplified estimation
SC Ahn, P Schmidt - Journal of econometrics, 1997