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System GMM Estimation With A Small Sample

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  • Marcelo Soto

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Abstract

Properties of GMM estimators for panel data, which have become very popular in the empirical economic growth literature, are not well known when the number of individuals is small. This paper analyses through Monte Carlo simulations the properties of various GMM and other estimators when the number of individuals is the one typically available in country growth studies. It is found that, provided that some persistency is present in the series, the system GMM estimator has a lower bias and higher efficiency than all the other estimators analysed, including the standard first-differences GMM estimator.

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Paper provided by Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC) in its series UFAE and IAE Working Papers with number 780.09.

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Length: 27
Date of creation: 01 Sep 2009
Date of revision:
Handle: RePEc:aub:autbar:780.09

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Keywords: Economic Growth; System GMM estimation; Monte Carlo Simulations;

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  1. Greenaway, David & Morgan, Wyn & Wright, Peter, 2002. "Trade liberalisation and growth in developing countries," Journal of Development Economics, Elsevier, vol. 67(1), pages 229-244, February.
  2. Kiviet, Jan F., 1995. "On bias, inconsistency, and efficiency of various estimators in dynamic panel data models," Journal of Econometrics, Elsevier, vol. 68(1), pages 53-78, July.
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  7. Francesco Caselli & Gerardo Esquivel & Fernando Lefort, 1997. "Reopening the Convergence Debate: A New Look at Cross-Country Growth Empirics," Working Papers Central Bank of Chile 03, Central Bank of Chile.
  8. Windmeijer, Frank, 2005. "A finite sample correction for the variance of linear efficient two-step GMM estimators," Journal of Econometrics, Elsevier, vol. 126(1), pages 25-51, May.
  9. Daniel Cohen & Marcelo Soto, 2007. "Growth and human capital: good data, good results," Journal of Economic Growth, Springer, vol. 12(1), pages 51-76, March.
  10. Carl-Johan Dalgaard & Henrik Hansen & Finn Tarp, 2001. "On the Empirics of Foreign Aid and Growth," EPRU Working Paper Series 03-13, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics, revised Sep 2003.
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Cited by:
  1. Ziesemer, Thomas H.W., 2010. "The impact of the credit crisis on poor developing countries: Growth, worker remittances, accumulation and migration," Economic Modelling, Elsevier, vol. 27(5), pages 1230-1245, September.
  2. Roach, Travis, 2013. "A dynamic state-level analysis of carbon dioxide emissions in the United States," Energy Policy, Elsevier, vol. 59(C), pages 931-937.
  3. Barth, Anne-Kathrin & Heimeshoff, Ulrich, 2011. "Does the growth of mobile markets cause the demise of fixed networks? Evidence from the European Union," 22nd European Regional ITS Conference, Budapest 2011: Innovative ICT Applications - Emerging Regulatory, Economic and Policy Issues 52144, International Telecommunications Society (ITS).
  4. Hartwig, Jochen, 2014. "Testing the Uzawa–Lucas model with OECD data," Research in Economics, Elsevier, vol. 68(2), pages 144-156.
  5. Kosta Josifidis & Radmila Dragutinović Mitrović & Olgica Ivančev, 2012. "Heterogeneity of Growth in the West Balkans and Emerging Europe: A Dynamic Panel Data Model Approach," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 59(2), pages 157-183, May.
  6. Karsten Staehr, 2010. "The global financial crisis and public finances in the New EU Countries from Central and Eastern Europe," Bank of Estonia Working Papers wp2010-02, Bank of Estonia, revised 04 Feb 2010.

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