Title: Indirect inference estimation of nonlinear dynamic panel data models
Authors: Antonio Cosma - University of Bergamo (Italy) [presenting]
Fausto Galli - University of Salerno (Italy)
Abstract: Nonlinear dynamic panel models are estimated by indirect inference, taking into account unobserved heterogeneity. We focus in particular on short panels. Monte Carlo simulations show that the method performs well, especially in short panels, both in terms of point estimates of the parameters and coverage of confidence intervals.