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in an AR(1) model with panel data, my coefficient on the lagged dependent term is above one. is this incorrect?

I should point out that the Yi,t-1 is a moving average process.

Is it only correct to use the LSDV estimator when the lagged dependent variable is constant ? When the lagged dependent variable is changing , as it is in my study, would it be more appropriate to use the system GMM estimator ?

I basically want to run the following dynamic panel regression as I am investigating convergence.

Yit = aYi,t-1 + bXit +Nt +Vi + Uit

Where Nt is time fixed effect
Vi is cross section fixed effect

In this context, do i need to use LSDV or system of GMM estimator ?

Thanks for your reply. I am trying to run a dynamic panel model with FE. I have 16 countries which I am looking at and have a range of variables. When I try to run the regression, I keep getting an error message saying "near singular matrix". Do you know why I am getting this message and w...

Thank you for your kind reply. When running a dynamic panel model with cross-sectional fixed effects, do I need to include a constant (c) in the estimation? My understanding is that the fixed effects allows us to correct for the endogeneity (and therefore bias) and therefore, it assumes that each co...

Hi all, I would like to run a dynamic panel model on eviews using fixed effects and the Least Squares Dummy Variable (LSDV) estimator. I have arranged my dataset in balanced panel form and click on the 'Fixed' tab in the Panel Tab for Cross section. I then estimated the equation using Least Squares ...