GMM ESTIMATION AND INFERENCE IN DYNAMIC PANEL DATA MODELS WITH PERSISTENT DATA
Hugo Kruiniger ()
Econometric Theory, 2009, vol. 25, issue 5, 1348-1391
In this paper we consider generalized method of momentsâ€“based (GMM-based) estimation and inference for the panel AR(1) model when the data are persistent and the time dimension of the panel is fixed. We find that the nature of the weak instruments problem of the Arellanoâ€“Bond (Arellano and Bond, 1991, Review of Economic Studies 58, 277â€“297) estimator depends on the distributional properties of the initial observations. Subsequently, we derive local asymptotic approximations to the finite-sample distributions of the Arellanoâ€“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 multiplierâ€“type (LM-type) panel unit root tests.
References: Add references at CitEc
Citations: View citations in EconPapers (15) Track citations by RSS feed
Downloads: (external link)
https://www.cambridge.org/core/product/identifier/ ... type/journal_article link to article abstract page (text/html)
Working Paper: GMM Estimation and Inference in Dynamic Panel Data Models with Persistent Data (2006)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:cup:etheor:v:25:y:2009:i:05:p:1348-1391_09
Access Statistics for this article
More articles in Econometric Theory from Cambridge University Press Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK.
Bibliographic data for series maintained by Keith Waters ().