Asymptotic distributions of the quadratic GMM estimator in linear dynamic panel data models

Tue Gorgens, Chirok Han and Sen Xue

ANU Working Papers in Economics and Econometrics from Australian National University, College of Business and Economics, School of Economics

Abstract: This paper establishes asymptotic distributions of the quadratic GMM estimator of the autoregressive parameter in simple linear dynamic panel data models with fixed effects under standard minimal assumptions. The number of time periods is assumed to be small. Focusing on settings where autoregressive parameter is uniquely identified, nonstandard convergence rates and limiting distributions arise in the well-known random walk case, as well as in other previously unrecognized cases. The paper finds that the convergence rates are slow in the nonstandard cases, and the limiting distributions are a mixture of two nonnormal distributions. The findings are illustrated using Monte Carlo simulations.

Keywords: Dynamic panel data models; fixed effects; generalized method of moments; nonstandard limiting distributions (search for similar items in EconPapers)
JEL-codes: C23 (search for similar items in EconPapers)
Date: 2016-05
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:acb:cbeeco:2016-635

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