The DOI matches its Crossref record; 3 of the 3 references it cites were found in a registry or an index.
Estimation in dynamic panel data models: Improving on the performance of the standard GMM estimator
Abstract
This chapter reviews developments to improve on the poor performance of the standard GMM estimator for highly autoregressive panel series. It considers the use of the ‘system’ GMM estimator that relies on relatively mild restrictions on the initial condition process. This system GMM estimator encompasses the GMM estimator based on the non-linear moment conditions available in the dynamic error components model and has substantial asymptotic efficiency gains. Simulations, that include weakly exogenous covariates, find large finite sample biases and very low precision for the standard first differenced estimator. The use of the system GMM estimator not only greatly improves the precision but also greatly reduces the finite sample bias. An application to panel production function data for the U.S. is provided and confirms these theoretical and experimental findings.
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Citations
Cites
Initial conditions and moment restrictions in dynamic panel data models
Blundell, R., & Bond, S. (1998) · Journal of Econometrics · doi:10.1016/s0304-4076(98)00009-8 · Cited by 22,571
Self-citationAnother look at the instrumental variable estimation of error-components models
Arellano, M., & Bover, O. (1995) · Journal of Econometrics · doi:10.1016/0304-4076(94)01642-d · Cited by 19,880
Biases in dynamic models with fixed effects
Nickell, S. (1981) · Econometrica · doi:10.2307/1911408 · Cited by 8,735
Cited by
Blunt Instruments: Avoiding Common Pitfalls in Identifying the Causes of Economic Growth
Bazzi, S., & Clemens, M. A. (2013) · American Economic Journal: Macroeconomics · doi:10.1257/mac.5.2.152 · Cited by 640
The weak instrument problem of the system GMM estimator in dynamic panel data models
Bun, M. J. G., & Windmeijer, F. (2010) · The Econometrics Journal · doi:10.1111/j.1368-423x.2009.00299.x · Cited by 498
Self-citationRegional Convergence in the European Union, 1985- 1999: A Spatial Dynamic Panel Analysis
Badinger, H., Müller, W., & Tondl, G. (2004) · Regional Studies · doi:10.1080/003434042000211105 · Cited by 269
Metadata
- Authors
- Blundell, R., Bond, S., & Windmeijer, F.
- Venue
- Advances in Econometrics
- Publisher
- Emerald (MCB UP )
- Published
- 2004-05-19
- Pages
- 53-91
- ISSN
- 0731-9053 (ISSN-L)
- OpenAlex
- W3124928762
- Cited by
- 301
- References
- 3
- FWCI
- 16.87
- Type
- book chapter
- Language
- en
- Open access
- closed
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- Blundell, R., Bond, S., & Windmeijer, F. (2004). Estimation in dynamic panel data models: Improving on the performance of the standard GMM estimator. Advances in Econometrics. https://doi.org/10.1016/s0731-9053(00)15003-0
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