Performance of the operational Wansbeek-Bekker estimator for dynamic panel data models

Authors: Harris M. N.; Matyas L.

Source: Applied Economics Letters, Volume 7, Number 3, 1 March 2000 , pp. 149-153(5)

Publisher: Routledge, part of the Taylor & Francis Group

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Abstract:

Wansbeek and Bekker considered a new estimator for simple dynamic panel data models (where there are no exogenous variables) which involved a complex weighting matrix. An operational variant of this estimator is proposed which is applicable to the more realistic case where there are exogenous variables. Also proposed is an easy-to-compute approximation to the weighting matrix. The performance of this (these) new estimator(s) is examined, revealing very desirable small sample properties in a wide range of situations that the applied researcher is likely to encounter, especially in moderate time series length panels.

Language: English

Document Type: Research article

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