EFFICIENT ESTIMATION OF MODELS FOR DYNAMIC PANEL-DATA

被引：467

作者：

AHN, SC

SCHMIDT, P

机构：

[1] MICHIGAN STATE UNIV,DEPT ECON,E LANSING,MI 48824

[2] ARIZONA STATE UNIV,DEPT ECON,TEMPE,AZ 85287

来源：

JOURNAL OF ECONOMETRICS | 1995年 / 68卷 / 01期

基金：

美国国家科学基金会;

关键词：

DYNAMIC MODEL; PANEL DATA; FIXED EFFECTS; RANDOM EFFECTS;

D O I：

10.1016/0304-4076(94)01641-C

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

In this paper we consider a dynamic model for panel data. We show that, under standard assumptions, there are more moment conditions than are currently exploited in the literature. Some of these are linear, but others are quadratic, so that nonlinear GMM is required. We also show that exogenous regressors generate a large number of relevant moment conditions in a dynamic model than they would in a static model.

引用

页码：5 / 27

页数：23

共 21 条

[1] ON THE COVARIANCE STRUCTURE OF EARNINGS AND HOURS CHANGES [J].