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Gmm Estimation And Inference In Dynamic Panel Data Models With Persistent Data

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Author Info
Kruiniger, Hugo

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Abstract

In this paper we consider generalized method of moments Bond (Arellano and Bond, 1991, Review of Economic Studies 58, 277 Bond estimator and the System estimator, respectively, under a variety of distributional assumptions about the initial observations and discuss the implications of the results we obtain for doing inference. We also propose two Lagrange multiplier type (LM-type) panel unit root tests.

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Publisher Info
Article provided by Cambridge University Press in its journal Econometric Theory.

Volume (Year): 25 (2009)
Issue (Month): 05 (October)
Pages: 1348-1391
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Handle: RePEc:cup:etheor:v:25:y:2009:i:05:p:1348-1391_09

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This page was last updated on 2009-12-20.

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