System GMM estimation with a small sample

Marcelo Soto

No 395, Working Papers from Barcelona School of Economics

Abstract: Properties of GMM estimators for panel data, which have become very popular in the empirical economic growth literature, are not well known when the number of individuals is small. This paper analyses through Monte Carlo simulations the properties of various GMM and other estimators when the number of individuals is the one typically available in country growth studies. It is found that, provided that some persistency is present in the series, the system GMM estimator has a lower bias and higher efficiency than all the other estimators analysed, including the standard first-differences GMM estimator.

Keywords: economic growth; System GMM estimation; Monte Carlo Simulations (search for similar items in EconPapers)
JEL-codes: C15 C33 O11 (search for similar items in EconPapers)
Date: 2015-09
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Citations: View citations in EconPapers (103)

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Related works:
Working Paper: System GMM Estimation With A Small Sample (2009)
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