10.4225/03/59378d4fca861
Harris, Mark N.
Mark N.
Harris
Longmire, Ritchard J.
Ritchard J.
Longmire
Matyas, Laszlo
Laszlo
Matyas
The Robustness of Estimators for Dynamic Panel Data Models to Misspecification
Monash University
2017
monash:6920
1959.1/36057
1996
2017-06-07 05:21:18
Journal contribution
https://bridges.monash.edu/articles/journal_contribution/The_Robustness_of_Estimators_for_Dynamic_Panel_Data_Models_to_Misspecification/5085208
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 assumptions, which in practice may often be violated. The purpose of this paper is to ascertain how robust the available estimators are to such misspecifications, thus providing guidance to the applied researcher as to an appropriate choice of estimator in such situations.