Performance of the operational Wansbeek-Bekker estimator for dynamic panel data models.

TitlePerformance of the operational Wansbeek-Bekker estimator for dynamic panel data models.
Publication TypeJournal Article
AuthorsHarris, M. N., and L. Mátyás
Journal titleApplied Economics Letters
Year2000
Pages149 - 153
Volume7
Issue3
Abstract

Wansbeek and Bekker considered a new estimator for simple dynamic panel data models (where there are no exogenous variables) which involved a complex weighting matrix. An operational variant of this estimator is proposed which is applicable to the more realistic case where there are exogenous variables. Also proposed is an easy-to-compute approximation to the weighting matrix. The performance of this (these) new estimator(s) is examined, revealing very desirable small sample properties in a wide range of situations that the applied researcher is likely to encounter, especially in moderate time series length panels

Languageeng
Notes

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