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Dynamic Panel Data Models

Author

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  • Maurice J.G. Bun
  • Sarafidis, V.
Abstract
This paper reviews the recent literature on dynamic panel data models. Throughout the discussion we consider the linear dynamic panel data model with additional endogenous regressors. First we give a broad overview of available methods. We next discuss in more detail the assumption of mean stationarity underlying the system GMM estimator. We discuss causes of deviations from mean stationarity, their consequences and tests for mean stationarity.

Suggested Citation

  • Maurice J.G. Bun & Sarafidis, V., 2013. "Dynamic Panel Data Models," UvA-Econometrics Working Papers 13-01, Universiteit van Amsterdam, Dept. of Econometrics.
    • Handle: RePEc:ame:wpaper:1301
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    References listed on IDEAS

    as
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    Full references (including those not matched with items on IDEAS)

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