Improving the efficiency of GMM estimators for dynamic panel models

MaRDI QIDQ5172844zbMATH OpenFDO

Authors Ahmed H. Youssef, Ahmed A. El-Sheikh, Mohamed R. Abonazel

Publication date 5 February 2015

Full work available at URL http://www.pphmj.com/abstract/8471.htm

zbMATH Keywords

dynamic panel datageneralized method of momentsKI upper boundoptimal and suboptimal weighted matrices

Mathematics Subject Classification ID

Point estimation (62F10) Non-Markovian processes: estimation (62M09)

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(5)

• On IV, GMM and ML in a dynamic panel data model
• The optimal choice of moments in dynamic panel data models
• GMM estimators with improved finite sample properties using principal components of the weighting matrix, with an application to the dynamic panel data model
• Alternative GMM estimators for first-order autoregressive panel model: an improving efficiency approach
• The effects of dynamic feedbacks on LS and MM estimator accuracy in panel data models: some additional results

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