IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this paper

GMM estimation of a production function with panel data : an application to Spanish manufacturing firms

  • Alonso-Borrego, César
  • Sánchez Mangas, Rocío

In this paper we consider the estimation of a Cobb-Douglas production function using a panel dataset of Spanish manufacturing firms. As it is stressed in the econometric literature, the use of standard GMM first differences estimators to eliminate the unobserved firm-specific effects may yield imprecise estimates, particularly in the case of the estimation of the production function. The reason is that the high persistence of output and inputs involved in the estimation of production functions make that their lagged levels to be weak instruments for the first differences of these series. The extended GMM estimator proposed by Arellano and Bover (1995) considers further orthogonality conditions based on lagged differences as instruments for the equation in levels. This approach has been applied to the estimation of technological parameters by Blundell and Bond (1999). Our estimation results, based on this approach, confirm the better performance of the extended GMM estimator compared to the standard first-differenced GMM estimator

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://e-archivo.uc3m.es/bitstream/handle/10016/173/ws015527.pdf?sequence=1
Download Restriction: no

Paper provided by Universidad Carlos III de Madrid. Departamento de Estadística in its series DES - Working Papers. Statistics and Econometrics. WS with number ws015527.

as
in new window

Length:
Date of creation: Dec 2001
Date of revision:
Handle: RePEc:cte:wsrepe:ws015527
Contact details of provider: Web page: http://portal.uc3m.es/portal/page/portal/dpto_estadistica

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

as in new window
  1. Arellano, Manuel & Bover, Olympia, 1995. "Another look at the instrumental variable estimation of error-components models," Journal of Econometrics, Elsevier, vol. 68(1), pages 29-51, July.
  2. Richard Blundell & Stephen Bond, 2000. "GMM Estimation with persistent panel data: an application to production functions," Econometric Reviews, Taylor & Francis Journals, vol. 19(3), pages 321-340.
  3. Bronwyn H. Hall & Jacques Mairesse & Benoit Mulkay & Jacques Mairesse, 1999. "Firm Level Investment in France and the United States: An Exploration of What We Have Learned in Twenty Years," Econometrics 9902001, EconWPA.
  4. Manuel Arellano & Stephen Bond, 1991. "Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations," Review of Economic Studies, Oxford University Press, vol. 58(2), pages 277-297.
  5. Richard Blundell & Steve Bond & Frank Windmeijer, 2000. "Estimation in dynamic panel data models: improving on the performance of the standard GMM estimator," IFS Working Papers W00/12, Institute for Fiscal Studies.
Full references (including those not matched with items on IDEAS)

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:cte:wsrepe:ws015527. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ana Poveda)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.