Year: 2015
Type: book-chapter
Abstract: This Chapter reviews the recent literature on dynamic panel data models with a short time span and a large cross-section. Throughout the discussion we considerlinear models with additional endogenous covariates. First we give a broad overview of available inference methods placing emphasis on GMM. We next discuss in more detail the assumption of mean stationarity underlying the system GMM estimator. We discuss causes of deviations from mean stationarity, their consequences and tests for mean stationarity.
Source: Oxford University Press eBooks
Authors: Maurice J. G. Bun, Vasilis Sarafidis
Institutions: University of Amsterdam, Monash University
Language: English
Subfield: Economics and Econometrics
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W2125476012