Is it correct that dynamic panel without individual fixed effect (but with group fixed effects), no serial correlation in error can be estimated consistently through pooled ols?

For example, suppose we have $$ y_{it} = \rho y_{it-1} + \beta x_{it}+v_g+\epsilon_{it} $$ where $E(x_{it}\epsilon_{it})=0$ and $E(y_{it-1}\epsilon_{it})=0$.

Do we need to use Arellano and Bond's GMM method in the above case?

  • $\begingroup$ Is $y_{it}$ on the right-hand side a lag of your outcome? $\endgroup$ – Thomas Bilach Jul 25 '20 at 16:46
  • $\begingroup$ @ThomasBilach It's a typo. I have corrected it. $\endgroup$ – chuck Jul 25 '20 at 16:47

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