Estimation of dynamic panel data models with a lot of heterogeneity
(2021)
Journal Article
The commonly used 1-step and 2-step System GMM estimators for the panel AR(1) model are inconsistent under mean stationarity when the ratio of the variance of the individual e§ects to the variance of the idiosyncratic errors is unbounded when N ! 1.... Read More about Estimation of dynamic panel data models with a lot of heterogeneity.