GMM and ML Estimation of Dynamic Panel Data Models with Heterogeneous Time Trends

12 Pages Posted: 10 May 2017

See all articles by Kazuhiko Hayakawa

Kazuhiko Hayakawa

Hiroshima University

Bei Ge

Hiroshima University

Date Written: March 1, 2017

Abstract

In this paper, we consider dynamic panel data models with heterogeneous time trends. 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 GMM estimator performs very poorly whereas the ML estimator performs well.

Suggested Citation

Hayakawa, Kazuhiko and Ge, Bei, GMM and ML Estimation of Dynamic Panel Data Models with Heterogeneous Time Trends (March 1, 2017). Available at SSRN: https://ssrn.com/abstract=2965285 or http://dx.doi.org/10.2139/ssrn.2965285

Kazuhiko Hayakawa (Contact Author)

Hiroshima University ( email )

Japan

Bei Ge

Hiroshima University ( email )

739-0046
Japan

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