Articles
GMM Estimation of Short Dynamic Panel Data Models with Interactive Fixed Effects
2012 年 42 巻 2 号 p. 109-123
詳細
2012 年 42 巻 2 号 p. 109-123
In this paper, we propose GMM estimators for short dynamic panel data models with interactive fixed effects. Moment conditions are obtained for the model where the projection method is applied to remove the correlation between regressors and interactive fixed effects. Monte Carlo simulation shows that the proposed GMM estimators perform reasonably well in finite sample.
