Statistical inference in dynamic panel data models

T.W. Anderson and his collaborators have made seminal contributions to inference with instrumental variables and to dynamic panel data models. We review these contributions and the extensive economic and statistical literature that these contributions spawned. We describe our recent work in these two areas, presenting new approaches to (a) making valid inferences in the presence of weak instruments and (b) instrument and model selection for dynamic panel data models. Both approaches use empirical likelihood and resampling. For inference in the presence of weak instruments, our approach uses model averaging to achieve asymptotic efficiency with strong instruments but maintain valid inferences with weak instruments. For instrument and model selection, our approach aims at choosing valid instruments that are are strong enough to be useful.