Identification robust inference for moments based analysis of linear dynamic panel data models

no code implementations • 18 May 2021 • Maurice J. G. Bun, Frank Kleibergen

We use identification robust tests to show that difference, level and non-linear moment conditions, as proposed by Arellano and Bond (1991), Arellano and Bover (1995), Blundell and Bond (1998) and Ahn and Schmidt (1995) for the linear dynamic panel data model, do not separately identify the autoregressive parameter when its true value is close to one and the variance of the initial observations is large.

Time Series Time Series Analysis