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| Kazuhiko Hayakawa |
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| ''First Difference or Forward Orthogonal Deviation- Which Transformation Should be Used in Dynamic Panel Data Models?: A Simulation Study'' |
| ( 2009, Vol. 29 No.3 ) |
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| This paper compares the performances of the generalized method of moments (GMM) estimator of dynamic panel data model wherein unobserved individual effects are removed by the forward orthogonal deviation or the first difference. The simulation results show that the GMM estimator of the model transformed by the forward orthogonal deviation tends to work better than that transformed by the first difference. |
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| Keywords: dynamic panel data model, first difference, forward orthogonal deviation, GMM |
JEL: C3 - Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions
C3 - Models with Panel Data |
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| Manuscript Received : Jun 15 2009 | | Manuscript Accepted : Aug 18 2009 |
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