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

Economics Letters

Volumn 95, Issue 1, 2007, Pages 32-38

  Hayakawa, Kazuhiko ^a  

^a HITOTSUBASHI UNIVERSITY   (Japan)

Author keywords

Dynamic panel data model; Finite sample bias; GMM estimator

Indexed keywords

EID: 33947316307     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.econlet.2006.09.011     Document Type: Article

References (5)

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3. Blundell R., and Bond S. Initial conditions and moment restrictions in dynamic panel data models. Journal of Econometrics 87 (1998) 115-143
4. Bun M.J.G., and Kiviet J.F. The effects of dynamic feedbacks on LS and MM estimator accuracy in panel data models. Journal of Econometrics 132 2 (2006) 409-444
5. Hahn J., Hausman J., and Kuersteiner G. Bias corrected instrumental variables estimation for dynamic panel models with fixed effects. MIT Department of Economics Working Paper vol. 01-24 (2001)