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.