Dynamic Panel Data Model and Moment Generating Function

Yoshitsugu Kitazawa

No 13, Discussion Papers from Kyushu Sangyo University, Faculty of Economics

Abstract: This paper proposes new sets of moment restrictions for consistently estimating the dynamic panel data model. These sets are derived from solving the moment generating functions of the error term for the dynamic panel data model and have the relevancy with some well-known sets of moment restrictions proposed up to this point in time. To investigate small sample properties for GMM estimators based on these sets, Monte Carlo experiments were conducted. The Monte Carlo experiments show that the GMM estimators based on some of these sets exhibit good small sample properties for some values of the so-called adjusting parameter.

Keywords: Dynamic Panel Data Model; Generalized Method of Moments; Moment Generating Function; Monte Carlo Experiments; Small Sample Properties (search for similar items in EconPapers)
JEL-codes: C23 (search for similar items in EconPapers)
Pages: 51 pages
Date: 2003-02
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http://www.ip.kyusan-u.ac.jp/keizai-kiyo/dp13.pdf First version, 2003 (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:kyu:dpaper:13

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