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Journal Article

Estimating Dynamic Random Effects Models from Panel Data Covering Short Time Periods

Alok Bhargava and J. D. Sargan
Econometrica
Vol. 51, No. 6 (Nov., 1983), pp. 1635-1659
Published by: The Econometric Society
DOI: 10.2307/1912110
Stable URL: http://www.jstor.org/stable/1912110
Page Count: 25
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Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
Estimating Dynamic Random Effects Models from Panel Data Covering Short Time Periods
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Abstract

This paper advocates the use of simultaneous equations estimators (especially LIML) to estimate dynamic random effects models from panel data. The methods are found to perform quite satisfactorily in Monte Carlo experiments. The LIML procedures are also extended to the case where some of the regressors are correlated with the effects and a theorem on identification is proved. Finally, the Michigan Panel is used for some illustrations.

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