Subset-Continuous-Updating GMM Estimators for Dynamic Panel Data Models
The two-step GMM estimators of Arellano and Bond (1991) and Blundell and Bond (1998) for dynamic panel data models have been widely used in empirical work; however, neither of them performs well in small samples with weak instruments. The continuous-updating GMM estimator proposed by Hansen, Heaton,...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2016-11-01
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| Series: | Econometrics |
| Subjects: | |
| Online Access: | http://www.mdpi.com/2225-1146/4/4/47 |