New GMM Estimators for Dynamic Panel Data Models
Ahmed H. Youssef,
Ahmed A. El-Sheikh and
Mohamed Abonazel ()
MPRA Paper from University Library of Munich, Germany
In dynamic panel data (DPD) models, the generalized method of moments (GMM) estimation gives efficient estimators. However, this efficiency is affected by the choice of the initial weighting matrix. In practice, the inverse of the moment matrix of the instruments has been used as an initial weighting matrix which led to a loss of efficiency. Therefore, we will present new GMM estimators based on optimal or suboptimal weighting matrices in GMM estimation. Monte Carlo study indicates that the potential efficiency gain by using these matrices. Moreover, the bias and efficiency of the new GMM estimators are more reliable than any other conventional GMM estimators.
Keywords: Dynamic panel data; Generalized method of moments; Monte Carlo simulation; Optimal and suboptimal weighting matrices. (search for similar items in EconPapers)
JEL-codes: C1 C15 C4 C5 C58 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-ore
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Published in International Journal of Innovative Research in Science, Engineering and Technology 10.3(2014): pp. 16414-16425
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:68676
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