A solution to the problem of too many instruments in dynamic panel data GMM
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- Tong, Eric, 2017. "US monetary policy and global financial stability," Research in International Business and Finance, Elsevier, vol. 39(PA), pages 466-485.
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KeywordsDynamic panel data; generalised method of moments; instrument proliferation; factor analysis;
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
- C81 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Microeconomic Data; Data Access
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2009-12-19 (All new papers)
- NEP-ECM-2009-12-19 (Econometrics)
- NEP-ETS-2009-12-19 (Econometric Time Series)
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