Small sample bias properties of the system GMM estimator in dynamic panel data models

DOI10.1016/j.econlet.2006.09.011zbMath1255.62353MaRDI QIDQ1934015

Kazuhiko Hayakawa

Publication date: 28 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2006.09.011

zbMATH Keywords

finite sample bias

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62F10: Point estimation

Related Items

GMM ESTIMATION FOR DYNAMIC PANELS WITH FIXED EFFECTS AND STRONG INSTRUMENTS AT UNITY, THE ASYMPTOTIC PROPERTIES OF THE SYSTEM GMM ESTIMATOR IN DYNAMIC PANEL DATA MODELS WHEN BOTH N AND T ARE LARGE, Quasi ML estimation of the panel AR(1) model with arbitrary initial conditions, The effects of dynamic feedbacks on LS and MM estimator accuracy in panel data models: some additional results, Robust standard errors in transformed likelihood estimation of dynamic panel data models with cross-sectional heteroskedasticity, A SIMPLE EFFICIENT INSTRUMENTAL VARIABLE ESTIMATOR FOR PANEL AR(p) MODELS WHEN BOTHNANDTARE LARGE, The weak instrument problem of the system GMM estimator in dynamic panel data models

Cites Work

• Initial conditions and moment restrictions in dynamic panel data models
• Another look at the instrumental variable estimation of error-components models
• The effects of dynamic feedbacks on LS and MM estimator accuracy in panel data models
• Long difference instrumental variables estimation for dynamic panel models with fixed effects
• Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations