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Alternative GMM Estimators for First-order Autoregressive Panel Model: An Improving Efficiency Approach

Author

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  • Youssef, Ahmed
  • Abonazel, Mohamed R.

Abstract

This paper considers first-order autoregressive panel model which is a simple model for dynamic panel data (DPD) models. The generalized method of moments (GMM) gives efficient estimators for these models. This efficiency is affected by the choice of the weighting matrix which has been used in GMM estimation. The non-optimal weighting matrices have been used in the conventional GMM estimators. This led to a loss of efficiency. Therefore, we present new GMM estimators based on optimal or suboptimal weighting matrices. Monte Carlo study indicates that the bias and efficiency of the new estimators are more reliable than the conventional estimators.

Suggested Citation

  • Youssef, Ahmed & Abonazel, Mohamed R., 2015. "Alternative GMM Estimators for First-order Autoregressive Panel Model: An Improving Efficiency Approach," MPRA Paper 68674, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:68674
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    References listed on IDEAS

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    Cited by:

    1. Abonazel, Mohamed R., 2016. "Bias Correction Methods for Dynamic Panel Data Models with Fixed Effects," MPRA Paper 70628, University Library of Munich, Germany.
    2. Abonazel, Mohamed R., 2015. "R-Codes to Calculate GMM Estimations for Dynamic Panel Data Models," MPRA Paper 70627, University Library of Munich, Germany.
    3. Abonazel, Mohamed R., 2016. "Generalized Random Coefficient Estimators of Panel Data Models: Asymptotic and Small Sample Properties," MPRA Paper 72586, University Library of Munich, Germany.
    4. Abonazel, Mohamed R., 2015. "How to Create a Monte Carlo Simulation Study using R: with Applications on Econometric Models," MPRA Paper 68708, University Library of Munich, Germany.

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    More about this item

    Keywords

    Dynamic panel data; Generalized method of moments; Kantorovich inequality upper bound; Monte Carlo simulation; Optimal and suboptimal weighting matrices;
    All these keywords.

    JEL classification:

    • C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • M21 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Business Economics - - - Business Economics

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