Title of article :
How informative is the initial condition in the dynamic panel model with fixed effects?
Author/Authors :
Hahn، نويسنده , , Jinyong، نويسنده ,
Issue Information :
دوفصلنامه با شماره پیاپی سال 1999
Pages :
18
From page :
309
To page :
326
Abstract :
I consider estimation of the autoregressive panel model with fixed effects yit=ci+βyi,t−1+εit. I investigate the estimation method developed by Blundell and Bond (1998), which makes use of the stationarity of the initial levels. I do it by numerically comparing the semiparametric information bounds for the case that incorporates the stationarity of the initial condition and for the case that does not. It is found that the efficiency gain can be substantial.
Keywords :
Semiparametric information bound , initial condition , Dynamic panel model
Journal title :
Journal of Econometrics
Serial Year :
1999
Journal title :
Journal of Econometrics
Record number :
1556968
Link To Document :
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