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ID 26400
file
creator
subject
dynamic panel data model
GMM estimator; finite sample bias
NDC
Economics
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.
journal title
Economics Letters
volume
Volume 95
issue
Issue 1
start page
32
end page
38
date of issued
2007
publisher
Elsevier B.V.
issn
0165-1765
ncid
publisher doi
language
eng
nii type
Journal Article
HU type
Journal Articles
DCMI type
text
format
application/pdf
text version
author
rights
Copyright (c) 2006 Elsevier B.V.
relation is version of URL
http://dx.doi.org/10.1016/j.econlet.2006.09.011
department
Graduate School of Social Sciences