Small sample bias properties of the system GMM estimator in dynamic panel data models
نویسندگان
چکیده
منابع مشابه
Small Sample Bias Properties of the System GMM Estimator in Dynamic Panel Data Models
By deriving the finite sample biases, this paper shows analytically why the system GMM estimator in dynamic panel data models is less biased than the first differencing or the level estimators even though the former uses more instruments.
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The system GMM estimator developed by Blundell and Bond (1998) for dynamic panel data models has been widely used in empirical work; however, it does not perform well with weak instruments. This paper proposes a variation on the system GMM estimator, based on a simple transformation of the dependent variable. Simulation results indicate that, in finite samples, this transformed system GMM estim...
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Preliminary draft, comments welcome (Please do not quote or circulate without permission of the authors)
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ژورنال
عنوان ژورنال: Economics Letters
سال: 2007
ISSN: 0165-1765
DOI: 10.1016/j.econlet.2006.09.011