Do the most frequently used dynamic panel data estimators have the best performance in a small sample? A Monte Carlo comparison
Differenced GMM and system GMM estimators are the two most frequently used dynamic panel estimators. Regardless the fact that both estimators are proposed for samples with a large N and short T, both of them are frequently used for small samples. Therefore, this paper compares the small sample prope...
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| Format: | Article |
| Language: | English |
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Croatian Operational Research Society
2019-01-01
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| Series: | Croatian Operational Research Review |
| Online Access: | https://hrcak.srce.hr/file/324106 |