GMM estimators with improved finite sample properties using principal components of the weighting matrix, with an application to the dynamic panel data model

DOI10.1016/j.jeconom.2004.11.004zbMath1345.62042MaRDI QIDQ274929

F. Blanchet-Sadri, M. Dambrine

Publication date: 25 April 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2004.11.004

zbMATH Keywords

generalized method of moments; GMM; principal components; dynamic panel data model

Mathematics Subject Classification ID

62H25: Factor analysis and principal components; correspondence analysis

62F10: Point estimation