Indirect inference estimation of dynamic panel data models
动态面板数据模型的间接推断估计
This paper proposes an estimator for higher-order dynamic panel models based on the idea of indirect inference by matching the simple within-group estimator with its analytical approximate expectation. The resulting estimator is shown to be consistent and asymptotically normal. For the special case of first-order dynamic panel, the estimator yields numerically the same result from an existing procedure in the literature, but the inference to follow differs and this paper…