Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/79398 
Year of Publication: 
2002
Series/Report no.: 
cemmap working paper No. CWP09/02
Publisher: 
Centre for Microdata Methods and Practice (cemmap), London
Abstract: 
This paper reviews econometric methods for dynamic panel data models, and presents examples that illustrate the use of these procedures. The focus is on panels where a large number of individuals or firms are observed for a small number of time periods, typical of applications with microeconomic data. The emphasis is on single equation models with autoregressive dynamics and explanatory variables that are not strictly exogenous, and hence on the Generalised Method of Moments estimators that are widely used in this context. Two examples using firm-level panels are discussed in detail: a simple autoregressive model for investment rates; and a basic production function.
Subjects: 
panel data :
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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