This paper proposes a new class of estimators for the autoregressive coefficient of a dynamic panel data model with random individual effects and nonstationary initial condition. The new estimators we introduce are weighted averages of the well-known first difference (FD) GMM/IV estimator and the pooled ordinary least squares (POLS) estimator. The proposed procedure seeks to exploit the differing strengths of the FD GMM/IV estimator relative to the pooled OLS estimator.
Mean Average Estimation of Dynamic Panel Models with Nonstationary Initial ConditionJohn C. Chao, M. Kim, and D. Sul , ( 33 )
Advances in Econometrics: Essays in Honor of Peter C. B. Phillips, ed. by Yoosoon Chang , Thomas B. Fomby, andJoon Y. Park, Emerald Group Publishing Limited