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Estimating Dynamic Random Effects Models from Panel Data Covering Short Time Periods

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  • Bhargava, Alok
  • Sargan, J D

Abstract

AbstractThis paper advocates the use of simultaneous equations estimators (especially LIML) to estimate dynamic random effects models from panel data. The methods are found to perform quite satisfactorily in Monte Carlo experiments. The LIML procedures are also extended to the case where some of the regressors are correlated with the effects and a theorem on identification is proved. Finally, the Michigan Panel is used for some illustrations.
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Suggested Citation

  • Bhargava, Alok & Sargan, J D, 1983. "Estimating Dynamic Random Effects Models from Panel Data Covering Short Time Periods," Econometrica, Econometric Society, vol. 51(6), pages 1635-1659, November.
  • Handle: RePEc:ecm:emetrp:v:51:y:1983:i:6:p:1635-59
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    JEL classification:

    • C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General
    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • Q18 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Agricultural Policy; Food Policy
    • Z18 - Other Special Topics - - Cultural Economics - - - Public Policy

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