Small sample bias properties of the system GMM estimator in dynamic panel data models
Economics Letters Volume 95 Issue 1
Page 32-38
published_at 2007
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| File | |
| Title ( eng ) |
Small sample bias properties of the system GMM estimator in dynamic panel data models
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| Creator | |
| Source Title |
Economics Letters
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| Volume | 95 |
| Issue | 1 |
| Start Page | 32 |
| End Page | 38 |
| Abstract |
By deriving the finite sample biases, this paper shows analytically why the system GMM estimator in dynamic panel data models is less biased than the first differencing or the level estimators even though the former uses more instruments.
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| Keywords |
dynamic panel data model
GMM estimator; finite sample bias
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| NDC |
Economics [ 330 ]
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| Language |
eng
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| Resource Type | journal article |
| Publisher |
Elsevier B.V.
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| Date of Issued | 2007 |
| Rights |
Copyright (c) 2006 Elsevier B.V.
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| Publish Type | Author’s Original |
| Access Rights | open access |
| Source Identifier |
[ISSN] 0165-1765
[DOI] 10.1016/j.econlet.2006.09.011
[NCID] AA00174222
[DOI] http://dx.doi.org/10.1016/j.econlet.2006.09.011
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