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

Journal of Econometrics

Volumn 133, Issue 1, 2006, Pages 387-409

  Doran, Howard E ^a   Schmidt, Peter ^b  

^a UNIVERSITY OF NEW ENGLAND   (Australia)

^b MICHIGAN STATE UNIVERSITY   (United States)

Author keywords

Dynamic panel data model; Generalized method of moments; GMM; Principal components

Indexed keywords

COMPUTER SIMULATION; DATA STRUCTURES; ERROR CORRECTION; FINITE ELEMENT METHOD; PARAMETER ESTIMATION; STANDARDS; WEIGHING;

DYNAMIC PANEL DATA MODEL; GENERALIZED METHOD OF MOMENTS; GMM; PRINCIPAL COMPONENTS;

METHOD OF MOMENTS;

EID: 33745867248     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2004.11.004     Document Type: Article

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