German paper proposes new method for identifying time-invariant regressors
A working paper published yesterday by the Deutsche Bundesbank presents a new method for identifying the effects of time-invariant regressors in dynamic panel data models.
The paper, Estimation of linear dynamic panel data models with time-invariant regressors by Sebastian Kripfganz and Claudia Schwarz, finds the most widely used method currently (involving the generalised method of moments) can be "quite biased" and "very imprecise".
In its place, the authors propose using a two-stage
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