Semiparametric efficient estimation in dynamic panel data models

Park, Byeong U.;Sickles, Robin C.;Simar, Léopold
(2007) Journal of Econometrics — Vol. 136, n° 1, p. 281-301 (2007)

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  • Park, Byeong U.Seoul National University
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  • Sickles, Robin C.
    Author
  • Simar, LéopoldUCLouvain
    Author
Abstract
This paper extends the semiparametric efficient treatment of panel data models pursued by Park and Simar [Park, B.U., Simar, L., 1994. Efficient semiparametric estimation in stochastic frontier models. Journal of the American Statistical Association 89, 929–936] and Park et al. [Park, B.U., Sickles, R.C., Simar, L., 1998. Stochastic frontiers: a semiparametric approach. Journal of Econometrics 84, 273–301; Park, B.U., Sickles, R.C., Simar, L., 2003. Semiparametric efficient estimation of AR(1) panel data models. Journal of Econometrics 117, 279–309] to a dynamic panel setting. We develop a semiparametric efficient estimator under minimal assumptions when the panel model contains a lagged dependent variable. We apply this new estimator to analyze the structure of demand between city pairs for selected U.S. airlines during the period 1979 I–1992 IV.
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Park, B. U., Sickles, R. C., & Simar, L. (2007). Semiparametric efficient estimation in dynamic panel data models. Journal of Econometrics, 136(1), 281-301. https://doi.org/10.1016/j.jeconom.2006.03.004 (Original work published 2007)