Estimating Dynamic Panel Data Models in Political Science

Panel data are a very valuable resource for finding empiricalsolutions to political science puzzles. Yet numerous publishedstudies in political science that use panel data to estimatemodels with dynamics have failed to take into account importantestimation issues, which calls into question the inferenceswe can make from these analyses. The failure to account explicitlyfor unobserved individual effects in dynamic panel data inducesbias and inconsistency in cross-sectional estimators. The purposeof this paper is to review dynamic panel data estimators thateliminate these problems. I first show how the problems withcross-sectional estimators arise in dynamic models for paneldata. I then show how to correct for these problems using generalizedmethod of moments estimators. Finally, I demonstrate the usefulnessof these methods with replications of analyses in the debateover the dynamics of party identification.