The weak instrument problem of the system GMM estimator in dynamic panel data models

DOI10.1111/j.1368-423X.2009.00299.xzbMath1187.62139OpenAlexW3121770345WikidataQ63353170 ScholiaQ63353170MaRDI QIDQ3563653

Maurice J. G. Bun, Frank A. G. Windmeijer

Publication date: 1 June 2010

Published in: The Econometrics Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1368-423x.2009.00299.x

zbMATH Keywords

dynamic panel dataweak instrumentssystem GMM

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10) Monte Carlo methods (65C05)

Related Items (23)

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Cites Work

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• Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations
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