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 TypeMiscellaneous
Year1998
AuthorsHarris, M. N., and L. Mátyás
Languageeng
Abstract

Wansbeek and Bekker (1996) considered a new estimator for simple dynamic panel data models (where there are no exogenous variables) which involved a complex weighting matrix. In this paper we propose an operational variant of this estimator which is applicable to the more realistic case where there are exogenous variables. We also propose 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

Publisher linkhttp://www.melbourneinstitute.com/wp/wp1998n08.pdf