Estimation of time-varying coefficient dynamic panel data models

Abstract

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.

Keywords:

• dynamic panel data model
• GMM
• ML
• time-varying parameter

Additional information

Funding

Japan Society for the Promotion of Science;