Regression modelEconometrics / time series
Dynamic Panel Data Model
The dynamic panel data model extends standard panel regression by including a lagged value of the outcome variable as a regressor, capturing persistence and adjustment dynamics. Because the lagged dependent variable is correlated with the unit-specific fixed effect, ordinary OLS or within estimators are biased; GMM-based methods using internal instruments are the standard remedy.
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Sources
- Arellano, M., & Bond, S. (1991). Some tests of specification for panel data: Monte Carlo evidence and an application to employment equations. Review of Economic Studies, 58(2), 277–297. DOI: 10.2307/2297968 ↗
- Hsiao, C. (2003). Analysis of Panel Data (2nd ed.). Cambridge University Press. ISBN: 978-0521522717
Related methods
Referenced by
Arellano-Bond GMM estimatorBayesian Dynamic Panel Data ModelBayesian System GMMDifference GMMFixed Effects ModelFourier Arellano-Bond GMMFourier Dynamic Panel Data ModelFourier system GMMNonlinear Dynamic Panel Data ModelNonlinear Fixed Effects ModelPanel Arellano-Bond GMMPanel Data AnalysisPanel Dynamic Panel Data ModelRobust Arellano-Bond GMMRobust Difference GMMRobust Dynamic Panel Data ModelStructural Break Difference GMMStructural Break Dynamic Panel Data ModelStructural Break System GMMStructural VARTime-varying parameter Arellano-Bond GMMTime-varying parameter dynamic panel data modelTime-varying parameter system GMM