Estimation of Time-Varying Coefficient Dynamic Panel Data Models
10 Pages Posted: 10 May 2017
Date Written: February 16, 2017
In this paper, we consider dynamic panel data models where the autoregressive parameter changes over time. We propose the GMM and ML estimators for this model. We conduct Monte Carlo simulation to compare the performance of these two estimators. The simulation results show that the ML estimator outperforms the GMM estimator.
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