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The Robustness of Estimators for Dynamic Panel Data Models to Misspecification

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Author Info

  • Harris, M.N.
  • Longmire, R.J.
  • Matyas, L.

Abstract

It is well known that the usual techniques for estimating random and fixed effects panel data models are inconsistent in the dynamic setting. As a consequence, numerous consistent estimators have been proposed in the literature. However, all such estimators rely on certain well defined assumption, which in practice my be violated.The purpose of this paper is to ascertain how robust the available estimators are to such misspecifications, thus providing guidance to applied researcher as to an appropriate choice of estimator in such situation.

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Bibliographic Info

Paper provided by Monash University, Department of Econometrics and Business Statistics in its series Monash Econometrics and Business Statistics Working Papers with number 9/96.

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Length: 21 pages
Date of creation: 1996
Date of revision:
Handle: RePEc:msh:ebswps:1996-9

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Related research

Keywords: REGRESSION ANALYSIS; ECONOMIC MODELS; EVALUATION;

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Cited by:
  1. Simon Feeny & Mark N. Harris & Joanne Loundes, 2000. "A Dynamic Panel Analysis of the Profitability of Australian Tax Entities," Melbourne Institute Working Paper Series wp2000n22, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
  2. Mark Harris & Simon Feeny, 2003. "Habit persistence in effective tax rates," Applied Economics, Taylor & Francis Journals, vol. 35(8), pages 951-958.
  3. Mark N. Harris & Simon Feeny, 2000. "Habit Persistence in Effective Tax Rates: Evidence Using Australian Tax Entities," Melbourne Institute Working Paper Series wp2000n13, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.

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