The DOI matches its Crossref record; 4 of the 4 references it cites were found in a registry or an index.
Dynamic panel data models: a guide to microdata methods and practice
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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Another look at the instrumental variable estimation of error-components models
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Biases in dynamic models with fixed effects
Nickell, S. (1981) · Econometrica · doi:10.2307/1911408 · Cited by 8,735
Hsiao, C. (2014) · doi:10.1017/cbo9781139839327 · Cited by 7,869
Instrumental Variables Regression with Weak Instruments
Staiger, D., & Stock, J. (1994) · doi:10.3386/t0151 · Cited by 5,302 · cited 1×
“See, for example, Bound, Jaeger and Baker (1995) and Staiger and Stock (1997) . 29 Blundell, Bond and Windmeijer (2000) suggest that this is also likely to be a concern in multivariate models when the individual series are highly persistent.”
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Metadata
- Authors
- Bond, S.
- Venue
- Working Paper Series
- Publisher
- Institute for Fiscal Studies
- Published
- 2002-04-03
- ISSN
- 1753-9196 (ISSN-L)
- OpenAlex
- W2135699079
- Cited by
- 1,547
- References
- 4
- Type
- report
- Language
- en
- Open access
- closed
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