Accuracy and Efficiency of Various GMM Inference Techniques in Dynamic Micro Panel Data Models

Accuracy and Efficiency of Various GMM Inference Techniques in Dynamic Micro Panel Data Models

Studies employing Arellano-Bond and Blundell-Bond generalized method of moments (GMM) estimation for linear dynamic panel data models are growing exponentially in number. However, for researchers it is hard to make a reasoned choice between many different possible implementations of these estimators...

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Bibliographic Details
Main Authors: Jan Kiviet, Milan Pleus, Rutger Poldermans
Format: Article
Language:English
Published: MDPI AG 2017-03-01
Series:Econometrics
Subjects:
cross-sectional heteroskedasticity
model specification strategy
Sargan-Hansen (incremental) tests
variants of t-tests
weighting matrices
Windmeijer-correction
Online Access:http://www.mdpi.com/2225-1146/5/1/14

Internet

http://www.mdpi.com/2225-1146/5/1/14

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