Finite‐sample comparison of alternative methods for estimating dynamic panel data models
动态面板数据模型不同估计方法的有限样本比较
SUMMARY The Wooldridge method is based on a simple and novel strategy to deal with the initial values problem in nonlinear dynamic random‐effects panel data models. The characteristic of the method makes it very attractive in empirical applications. However, its finite sample performance and robustness are not fully known as of yet. In this paper we investigate the performance and robustness of this method in comparison with an ideal case in which the initial values are…