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Efficient estimation of dynamic panel data models: Alternative assumptions and simplified estimation

โœ Scribed by Seung C. Ahn; Peter Schmidt


Book ID
107950070
Publisher
Elsevier Science
Year
1997
Tongue
English
Weight
805 KB
Volume
76
Category
Article
ISSN
0304-4076

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This paper derives the joint moment generating function of two quadratic forms appearing in the OLS estimator from a dynamic panel data model. The result is then used to investigate the effect of the cross-section dimension on the asymptotic bias. (~