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ID 30797
file
creator
NDC
Economics
abstract
In this paper, we show that the order of magnitude of the finite sample bias of the GMMld(2) estimator of Bun and Kiviet (2006) reduces from O(T/N) to O(1/N) if the original level model is transformed by the upper triangular Cholesky factorization of the inverse of the pseudo variance matrix of error component u(i), wherein true values of the variances of individual effects and disturbances may not be used. Some variants of the system GMM estimator that are associated with the Cholesky-transformed model are also discussed.
journal title
Journal of Econometrics
volume
Volume 159
issue
Issue 1
start page
202
end page
208
date of issued
2010-11
publisher
Elsevier Science SA
issn
0883-7252
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) 2010 Elsevier B.V.
relation url
department
Graduate School of Social Sciences