Efficiency comparisons for a system GMM estimator in dynamic panel data models
The system GMM estimator in dynamic panel data models combines moment conditions for hte differenced equation with moment conditions for the model in levels. An initial optimal weight matrix under homoscedasticity and non-serial correlation is not known for this estimation procedure. It is common practice to use the inverse of the moment matrix of the instruments as the initial weight matrix. This paper assesses the potential efficiency loss from the use of this weight matrix using the efficiency bounds as derived by Liu and Neudecker (1997).
|Date of creation:||01 Oct 1998|
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- Richard Blundell & Steve Bond, 1995.
"Initial conditions and moment restrictions in dynamic panel data models,"
IFS Working Papers
W95/17, Institute for Fiscal Studies.
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