Article ID Journal Published Year Pages File Type
5062468 Economics Letters 2007 7 Pages PDF
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.

Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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Small sample bias properties of the system GMM estimator in dynamic panel data models
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