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 ...

In an effort to improve the small sample properties of generalized method of moments (GMM) estimators, a number of alternative estimators have been suggested. These include empirical likelihood (EL), continuous updating, and exponential tilting estimators. We show that these estimators share a common structure, being members of a class of generalized empirical likelihood (GEL) estimators. We us...

In an effort to improve the small sample properties of generalized method of moments (GMM) estimators, a number of alternative estimators have been suggested. These include empirical likelihood (EL), continuous updating, and exponential tilting estimators. We show that these estimators share a common structure, being members of a class of generalized empirical likelihood (GEL) estimators. We us...

Environmental sustainability is a burning fact worldwide, especially in developing nations. Equitable economic development, environmental protection, energy efficiency and security have been placed at the apex of discussant policy formulation. This paper establishes relationship between trade quality Sub-Saharan Africa (SSA). Following Kuznets Curve (EKC) theory, we investigate existence an inv...

Panel data allow correction for measurement error without assuming a known measurement error covariance matrix or using additional validation/replication data to estimate the measurement error covariance matrix. Griliches and Hausman (1986) proposed using the generalized method of moments (GMM) or optimal weighting to efficiently combine instrumental variable (IV) estimators. Wansbeek (2001) ap...

1. Andrews D. W., Lu B. [2001], Consistent model and moment selection procedures for GMM estimation with application to dynamic panel data models, Journal of Econometrics, 101 (1): 123–164. Google Scholar