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Estimating a Dynamic Panel Data Model with Heterogenous Trends

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  • Tom J. Wansbeek
  • Thijs Knaap

Abstract

This paper is concerned with the estimation of a dynamic panel data model with individual fixed effects and a linear trend term with heterogenous coefficients. We expand the available methods for the standard dynamic panel data model to this case, and discuss modified OLS, IV and GMM methods. We hint at the potential of LIML estimation to reduce small sample bias. Although the methods pertain to a more complex model than the standard dynamic model, the simplicity of the various approaches can also be brought to bear on the standard model.

Suggested Citation

  • Tom J. Wansbeek & Thijs Knaap, 1999. "Estimating a Dynamic Panel Data Model with Heterogenous Trends," Annals of Economics and Statistics, GENES, issue 55-56, pages 331-349.
  • Handle: RePEc:adr:anecst:y:1999:i:55-56:p:331-349
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    File URL: http://www.jstor.org/stable/20076202
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    Cited by:

    1. Vasilis Sarafidis & Tom Wansbeek, 2012. "Cross-Sectional Dependence in Panel Data Analysis," Econometric Reviews, Taylor & Francis Journals, vol. 31(5), pages 483-531, September.

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