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Dynamic panel data models: a guide to microdata methods and practice
TLDR
In this article, 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, and the emphasis is on single equation models with autoregressive dynamics and explanatory variables.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.read more
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Productivity Spillovers from Multinational Corporations in Portugal: Vulnerability to Deficient Estimation
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Wage dynamics in the presence of unobserved individual and job heterogeneity
TL;DR: This paper developed an error-components model for wages that incorporates individual fixed effects, job-specific effects, and a persistent shock with an autoregressive structure over time, which is robust to any distributional form for the unobserved individual and job components.
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