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2015•Oxford University Press eBooksOpen access

Dynamic Panel Data Models

Maurice J. G. Bun, Vasilis Sarafidis

Open full text 136 citations

Abstract

This Chapter reviews the recent literature on dynamic panel data models with a short time span and a large cross-section. Throughout the discussion we considerlinear models with additional endogenous covariates. First we give a broad overview of available inference methods placing emphasis on GMM. 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.

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What this paper is about

This Chapter reviews the recent literature on dynamic panel data models with a short time span and a large cross-section. Throughout the discussion we considerlinear models with additional endogenous covariates. First we give a broad overview of available inference methods placing emphasis on GMM. 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.

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Available abstract

This Chapter reviews the recent literature on dynamic panel data models with a short time span and a large cross-section. Throughout the discussion we considerlinear models with additional endogenous covariates. First we give a broad overview of available inference methods placing emphasis on GMM. 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.

Key concepts: Panel data, Computer science, Econometrics, Economics

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