Dynamic Panel Data Model and Moment Generating Function
AbstractThis paper proposes new sets of moment restrictions for consistently estimating the dynamic panel data model. These sets are derived from solving the moment generating functions of the error term for the dynamic panel data model and have the relevancy with some well-known sets of moment restrictions proposed up to this point in time. To investigate small sample properties for GMM estimators based on these sets, Monte Carlo experiments were conducted. The Monte Carlo experiments show that the GMM estimators based on some of these sets exhibit good small sample properties for some values of the so-called adjusting parameter.
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Bibliographic InfoPaper provided by Kyushu Sangyo University, Faculty of Economics in its series Discussion Papers with number 13.
Length: 51 pages
Date of creation: Feb 2003
Date of revision:
Dynamic Panel Data Model; Generalized Method of Moments; Moment Generating Function; Monte Carlo Experiments; Small Sample Properties;
Find related papers by JEL classification:
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Longitudinal Data; Spatial Time Series
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