Journal ArticleDOI
Biases in Dynamic Models with Fixed Effects
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This article is published in Econometrica.The article was published on 1981-11-01. It has received 6503 citations till now.read more
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Initial conditions and moment restrictions in dynamic panel data models
Richard Blundell,Stephen Bond +1 more
TL;DR: In this paper, two alternative linear estimators that are designed to improve the properties of the standard first-differenced GMM estimator are presented. But both estimators require restrictions on the initial conditions process.
Journal ArticleDOI
How Much Should We Trust Differences-In-Differences Estimates?
TL;DR: In this article, the authors randomly generate placebo laws in state-level data on female wages from the Current Population Survey and use OLS to compute the DD estimate of its "effect" as well as the standard error of this estimate.
Journal ArticleDOI
How to do Xtabond2: An Introduction to Difference and System GMM in Stata
TL;DR: This pedagogic paper first introduces linear GMM, and shows how limited time span and the potential for fixed effects and endogenous regressors drive the design of the estimators of interest, offering Stata-based examples along the way.
Journal ArticleDOI
How to do xtabond2: An introduction to difference and system GMM in Stata
TL;DR: This paper introduced linear generalized method of moments (GMM) estimators for situations with small T, large N panels, with independent variables that are not strictly exogenous, meaning correlated with past and possibly current realizations of the error; with fixed effects; and with heteroskedasticity and autocorrelation within individuals.
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General Diagnostic Tests for Cross Section Dependence in Panels
TL;DR: In this paper, the authors proposed simple tests of error cross section dependence which are applicable to a variety of panel data models, including stationary and unit root dynamic heterogeneous panels with short T and large N.
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Initial conditions and moment restrictions in dynamic panel data models
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