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GMM Bootstrapping and Testing in Dynamic Panels

  • Bergström, Pål

    (Trade and Capital Markets)

  • Dahlberg, Matz

    ()

    (Department of Economics)

  • Johansson, Eva

    ()

    (Department of Economics)

Two different bootstrap approaches for GMM estimation have recently been suggested for use in dynamic panel data models (Brown & Newey (1995) and Hall & Horowitz (1996)) In this paper we compare the small sample properties of these estimators, suggest how sequential testing can be conducted within the GMM bootstrapping framework, and investigate the performance in a sequence of tests where we seek to find the correct lag length of a dynamic model. This comparison is carried out by means of Monte Carlo experiments. Our findings are that i) the Brown and Newey method has superior size properties, but cannot be used in a sequence of tests without modifications, and that ii) the Hall and Horowitz method works better than the usual asymptotic tests in a sequence of tests.

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Paper provided by Uppsala University, Department of Economics in its series Working Paper Series with number 1997:10.

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Length: 25 pages
Date of creation: 15 Apr 1997
Date of revision:
Handle: RePEc:hhs:uunewp:1997_010
Contact details of provider: Postal: Department of Economics, Uppsala University, P. O. Box 513, SE-751 20 Uppsala, Sweden
Phone: + 46 18 471 25 00
Fax: + 46 18 471 14 78
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