Estimation in dynamic panel data models: improving on the performance of the standard GMM estimator.

Estimation in dynamic panel data models: improving on the performance of the standard GMM estimator.

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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 estima...

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Bibliographic Details
Main Authors:	Blundell, R, Bond, S, Windmeijer, F
Format:	Working paper
Language:	English
Published:	Institute for Fiscal Studies 2000

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