The tests for the level moment conditions: GMM estimation in a linear dynamic panel data model

Takuya Hasebe

Economics Bulletin, 2012, vol. 32, issue 1, 412-420

Abstract: This paper compares the power of alternative tests for the level moment conditions in GMM estimation of a linear dynamic panel data model. The test statistic calculated conventionally can take on a negative value in finite samples even though it cannot be asymptotically. A straightforward modification makes the test statistic nonnegative. Monte Carlo simulations show that the test can gain power from the modification.

Keywords: GMM; Dynamic panel data; Overidentifying restrictions test (search for similar items in EconPapers)
JEL-codes: C1 C3 (search for similar items in EconPapers)
Date: 2012-01-27
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