TY - RPRT A1 - Hujer, Reinhard A1 - Zeiss, Christopher A1 - Rodrigues, Paulo Jorge Maurício T1 - Serial correlation in dynamic panel data models with weakly exogenous regressor and fixed effects N2 - Our paper wants to present and compare two estimation methodologies for dynamic panel data models in the presence of serially correlated errors and weakly exogenous regressors. The ¯rst is the ¯rst di®erence GMM estimator as proposed by Arellano and Bond (1991) and the second is the transformed Maximum Likelihood Estimator as proposed by Hsiao, Pesaran, and Tahmiscioglu (2002). Thereby, we consider the ¯xed e®ects case and weakly exogenous regressors. The ¯nite sample properties of both estimation methodologies are analysed within a simulation experiment. Furthermore, we will present an empirical example to consider the performance of both estimators with real data. JEL Classification: C23, J64 KW - Dynamic Panel Data KW - Serial Correlation KW - Simulation KW - Fixed Effects KW - Beveridge Curve Y1 - 2005 UR - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/3162 UR - https://nbn-resolving.org/urn:nbn:de:hebis:30-22431 IS - March 9, 2005 CY - Frankfurt am Main ER -