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date: 24 February 2020

Abstract and Keywords

This chapter reviews the recent literature on dynamic panel data models with a short time span and a large cross-section. Throughout the discussion linear models with additional endogenous covariates are considered. First, it gives a broad overview of available inference methods placing emphasis on GMM. Next it discusses in more detail the assumption of mean stationarity underlying the system GMM estimator and causes of deviations from mean stationarity, their consequences and tests for mean stationarity.

Keywords: dynamic panel data, panel data, econometrics, time span, large cross-section, linear, GMM, deviations from mean stationarity

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