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Efficient estimation of dynamic panel data models: Alternative assumptions and simplified estimation. (English) Zbl 0873.62124

Summary: This paper considers the estimation of dynamic models for panel data. It shows how to count and express the moment conditions implied by a variety of covariance restrictions. These conditions can be imposed in a generalized method of moments (GMM) framework. Many of the moment conditions are nonlinear in the parameters. We derive a simple linearized estimator that is asymptotically as efficient as the nonlinear GMM estimator, and convenient tests of the validity of the nonlinear restrictions.

MSC:

62P20 Applications of statistics to economics
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
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