The effects of dynamic feedbacks on LS and MM estimator accuracy in panel data models
动态反馈对面板模型 LS 与矩估计精度的影响
The finite sample behaviour is analysed of particular least squares (LS) and a range of (generalized) method of moments (MM) estimators in panel data models with individual effects and both a lagged dependent variable regressor and another explanatory variable. The latter may be affected by lagged feedbacks from the de- pendent variable too. Asymptotic expansions indicate how the order of magnitude of bias of MM estimators tends to increase with the number of moment condi-…