Hi,


I am working on determinants of corporate cash holdings with a panel dataset of ~700 firms across 16 years. Keeping in view theoretical and emprical considerations, I need to apply dynamic panel analysis. However, I am confused with regard to choice of a relevant dynamic panel estimator for the same. Below are my questions.

In the context of Corporate Finance, three papers (attached) compare different dynamic panel estimators and recommend the following:

Flannery & Hankins (2013): Broadly they recommend, Blundell Bond System GMM

Dang, Kim & Shin (2015): They propose their own bias corrected global minimum variance estimator

Zhou, Faff & Alpert (2014): They recommend bias corrected estimators namely: LSDV Corrected, Bootstrapped Bias Corrected, Indirect Inference.

Having read all three papers, I would like to know how does one choose a relevant estimator out of the ones compared in the papers above for his/her analysis.

References:

Dang, V., Kim, M., & Shin, Y. (2015). In search of robust methods for dynamic panel data models in empirical corporate finance. Journal Of Banking & Finance, 53, 84-98. doi: 10.1016/j.jbankfin.2014.12.009

Flannery, M., & Hankins, K. (2013). Estimating dynamic panel models in corporate finance. Journal Of Corporate Finance, 19, 1-19. doi: 10.1016/j.jcorpfin.2012.09.004

Zhou, Q., Faff, R., & Alpert, K. (2014). Bias correction in the estimation of dynamic panel models in corporate finance. Journal Of Corporate Finance, 25, 494-513. doi: 10.1016/j.jcorpfin.2014.01.009