How informative is the initial condition in the dynamic panel model with fixed effects?
通过比较半参数信息界，评估了Blundell和Bond（1998）利用初始条件平稳性的估计方法，发现该方法能显著提高效率。
I consider estimation of the autoregressive panel model with fixed effects yit=ci+βyi,t−1+εit. I investigate the estimation method developed by Blundell and Bond (1998), which makes use of the stationarity of the initial levels. I do it by numerically comparing the semiparametric information bounds for the case that incorporates the stationarity of the initial condition and for the case that does not. It is found that the efficiency gain can be substantial.