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

DOI10.1016/j.econlet.2006.09.011zbMath1255.62353OpenAlexW2035013034MaRDI 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

Applications of statistics to economics (62P20) Point estimation (62F10)

Related Items (14)

A SIMPLE EFFICIENT INSTRUMENTAL VARIABLE ESTIMATOR FOR PANEL AR(p) MODELS WHEN BOTHNANDTARE LARGE ⋮ Estimation of dynamic panel data models with a lot of heterogeneity ⋮ Improved GMM estimation of panel VAR models ⋮ On the behaviour of the GMM estimator in persistent dynamic panel data models with unrestricted initial conditions ⋮ Job destruction and the impact of imports on wages in U.S. manufacturing ⋮ To whom does outward FDI give jobs? ⋮ The weak instrument problem of the system GMM estimator in dynamic panel data models ⋮ Quasi ML estimation of the panel AR(1) model with arbitrary initial conditions ⋮ GMM ESTIMATION FOR DYNAMIC PANELS WITH FIXED EFFECTS AND STRONG INSTRUMENTS AT UNITY ⋮ Econometric estimates of Earth's transient climate sensitivity ⋮ The effects of dynamic feedbacks on LS and MM estimator accuracy in panel data models: some additional results ⋮ THE ASYMPTOTIC PROPERTIES OF THE SYSTEM GMM ESTIMATOR IN DYNAMIC PANEL DATA MODELS WHEN BOTH N AND T ARE LARGE ⋮ Testing initial conditions in dynamic panel data models ⋮ Robust standard errors in transformed likelihood estimation of dynamic panel data models with cross-sectional heteroskedasticity

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

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