GMM ESTIMATION AND INFERENCE IN DYNAMIC PANEL DATA MODELS WITH PERSISTENT DATA

Hugo Kruiniger ()

Econometric Theory, 2009, vol. 25, issue 05, pages 1348-1391

Abstract: In this paper we consider generalized method of moments Bond (Arellano and Bond, 1991, Review of Economic Studies 58, 277 Bond estimator and the System estimator, respectively, under a variety of distributional assumptions about the initial observations and discuss the implications of the results we obtain for doing inference. We also propose two Lagrange multiplier type (LM-type) panel unit root tests.

Date: 2009

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Related works:
Working Paper: GMM Estimation and Inference in Dynamic Panel Data Models with Persistent Data (2006)
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Persistent link: http://EconPapers.repec.org/RePEc:cup:etheor:v:25:y:2009:i:05:p:1348-1391_09

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