Moment Conditions for AR(1) Panel Data Models with Missing Outcomes

David Pacini and Frank Windmeijer

Bristol Economics Discussion Papers from School of Economics, University of Bristol, UK

Abstract: We derive moment conditions for dynamic, AR(1) panel data models when values of the outcome variable are missing. In this context, commonly used estimators only use data on individuals observed for at least three consecutive periods. We derive moment conditions for observations with at least three non-consecutive observations for estimation of the parameters by GMM.

Keywords: Panel Data; Missing Values. (search for similar items in EconPapers)
JEL-codes: C33 C51 (search for similar items in EconPapers)
Pages: 12 pages
Date: 2015-05-26
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:bri:uobdis:15/660

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