Estimation in dynamic panel data models: improving on the performance of the standard GMM estimator.
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...
| Автори: | , , |
|---|---|
| Формат: | Working paper |
| Мова: | English |
| Опубліковано: |
Institute for Fiscal Studies
2000
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Estimation in dynamic panel data models: improving on the performance of the standard GMM estimator.
Опубліковано 2011
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