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Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations

This paper presents specification tests that are applicable after estimating a dynamic model from panel data by the generalized method of moments (GMM), and studies the practical performance of these…
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Initial Conditions and Moment Restrictions in Dynamic Panel Data Models

In this paper we consider estimation of the autoregressive error components model. When the autoregressive parameter is moderately large and the number of time series observations is moderately…
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Dynamic panel data models: a guide to micro data methods and practice

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…
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GMM Estimation with persistent panel data: an application to production functions

This paper considers the estimation of Cobb-Douglas production functions using panel data covering a large sample of companies observed for a small number of time periods. GMM estimatorshave been…
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GMM Estimation of Empirical Growth Models

This Paper highlights a problem in using the first-differenced GMM panel data estimator to estimate cross-country growth regressions. When the time series are persistent, the first-differenced GMM…
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Uncertainty and Investment Dynamics

This paper shows that, with (partial) irreversibility, higher uncertainty reduces the impact effect of demand shocks on investment. Uncertainty increases real option values making firms more cautious…
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Dynamic Investment Models and the Firm's Financial Policy

In this paper we investigate the sensitivity of investment to the availability of internal funds using the hierarchy of finance approach to corporate finance. We characterize the empirical…
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Financial Factors and Investment in Belgium, France, Germany, and the United Kingdom: A Comparison Using Company Panel Data

We construct company panel data sets for manufacturing firms in Belgium, France, Germany, and the United Kingdom, covering the period 19781989. These data sets are used to estimate empirical…
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Estimation in dynamic panel data models: Improving on the performance of the standard GMM estimator

This chapter reviews developments to improve on the poor performance of the standard GMM estimator for highly autoregressive panel series. It considers the use of the ‘system’ GMM estimator that…
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Cross-section dependence in nonstationary panel models: a novel estimator

This paper uses Monte Carlo simulations to investigate the impact of nonstationarity, parameter heterogeneity and cross-section dependence on estimation and inference in macro panel data. We compare…
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