The weak instrument problem of the system GMM estimator in dynamic panel data models

A Transformed System GMM Estimator for Dynamic Panel Data Models ∗

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...

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.

On the behaviour of the GMM estimator in persistent dynamic panel data models with unrestricted initial conditions

This paper investigates the behavior of the first-difference GMM estimator for dynamic panel data models when persistency of data is (moderately) strong and initial conditions are unrestricted. We show that initial conditions affect the rate of convergence of the GMM estimator under a local to unity system where autoregressive parameter is modeled as αN = 1− c/Np where N is the cross-sectional ...

On the Behavior of the GMM estimator in Persistent Dynamic Panel Data Models with Unrestricted Initial Conditions

the problem of divine hiddenness

این رساله به مساله احتجاب الهی و مشکلات برهان مبتنی بر این مساله میپردازد. مساله احتجاب الهی مساله ای به قدمت ادیان است که به طور خاصی در مورد ادیان ابراهیمی اهمیت پیدا میکند. در ادیان ابراهیمی با توجه به تعالی خداوند و در عین حال خالقیت و حضور او و سخن گفتن و ارتباط شهودی او با بعضی از انسانهای ساکن زمین مساله ای پدید میاید با پرسشهایی از قبیل اینکه چرا ارتباط مستقیم ویا حداقل ارتباط وافی به ب...