Moment restrictions and identification in linear dynamic panel data models

Tue Gørgens, Chirok Han, Sen Xue

Research output: Contribution to journalArticlepeer-review

3 Citations (Scopus)


This paper investigates the relationship between moment restrictions and identification in simple linear AR(1) dynamic panel data models with fixed effects under standard minimal assumptions. The number of time periods is assumed to be small. The assumptions imply linear and quadratic moment restrictions which can be used for GMM estimation. The paper makes three points. First, contrary to common belief, the linear moment restrictions may fail to identify the autoregressive parameter even when it is known to be less than 1. Second, the quadratic moment restrictions provide full or partial identification in many of the cases where the linear moment restrictions do not. Third, the first moment restrictions can also be important for identification. Practical implications of the findings are illustrated using Monte Carlo simulations.

Original languageEnglish
Pages (from-to)149-176
Number of pages28
JournalAnnals of Economics and Statistics
Issue number134
Publication statusPublished - 2019

Bibliographical note

Funding Information:
This research was supported in part by ARC grant (DP1096862), a grant from the Korean Government (NRF-2014S1A2A2027803), and the 2019 Guangzhou Philosophy and Social Science Planning Grant (2019GZYB25). aThe Australian National University, Acton ACT 2601, Australia. bKorea University, 145 Anam-ro Seonbuk-gu, Seoul, Korea 02841. cJinan University, 601 West Huangpu Road, Tianhe District, Guangzhou 510632, China.

Publisher Copyright:
© 2019 GENES (Groupe des Ecoles en Economie et Statistiques). All rights reserved.


  • Arellano-Bond Estimator
  • Dynamic Panel Data Models
  • Fixed Effects
  • Generalized Method of Moments
  • Identification

ASJC Scopus subject areas

  • Statistics and Probability
  • Social Sciences (miscellaneous)
  • Economics and Econometrics
  • Statistics, Probability and Uncertainty


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