GMM Estimation with persistent panel data: an application to production functions
Richard Blundell () and
Econometric Reviews, 2000, vol. 19, issue 3, 321-340
This paper considers the estimation of Cobb-Douglas production functions using panel data covering a large sample of companies observed for a small number of time periods. GMM estimatorshave been found to produce large finite-sample biases when using the standard first-differenced estimator. These biases can be dramatically reduced by exploiting reasonable stationarity restrictions on the initial conditions process. Using data for a panel of R&Dperforming US manufacturing companies we find that the additional instruments used in our extended GMM estimator yield much more reasonable parameter estimates.
Keywords: panel data; GMM; production functions (search for similar items in EconPapers)
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Working Paper: GMM estimation with persistent panel data: an application to production functions (1999)
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Persistent link: https://EconPapers.repec.org/RePEc:taf:emetrv:v:19:y:2000:i:3:p:321-340
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