GMM and ML Estimation of Dynamic Panel Data Models with Heterogeneous Time Trends
12 Pages Posted: 10 May 2017
Date Written: March 1, 2017
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.
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