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Dynamicpaneldataestimators

Dynamicpaneldataestimators

Inthecontextofpaneldata,weusuallymustdealwithunobserved

heterogeneitybyapplyingthewithin(demeaning)transformation,asin

one-wayfixedeffectsmodels,orbytakingfirstdifferencesifthe

seconddimensionofthepanelisapropertimeseries.

Theabilityoffirstdifferencingtoremoveunobservedheterogeneity

alsounderliesthefamilyofestimatorsthathavebeendevelopedfor

dynamicpaneldata(DPD)