GMM Estimation and Inference in Dynamic Panel Data Models with Persistent Data.

Kruiniger, H.

Abstract

In this paper we consider generalized method of moments–based (GMM-based) estimation and inference for the panel AR(1) model when the data are persistent and the time dimension of the panel is fixed. We find that the nature of the weak instruments problem of the Arellano–Bond (Arellano and Bond, 1991, Review of Economic Studies 58, 277–297) estimator depends on the distributional properties of the initial observations. Subsequently, we derive local asymptotic approximations to the finite-sample distributions of the Arellano–Bond estimator and the System estimator, respectively, under a variety of distributional assumptions about the initial observations and discuss the implications of the results we obtain for doing inference. We also propose two Lagrange multiplier–type (LM-type) panel unit root tests.

Citation

Kruiniger, H. (2009). GMM Estimation and Inference in Dynamic Panel Data Models with Persistent Data. Econometric Theory, 25(5), 1348-1391. https://doi.org/10.1017/s0266466608090531

• Journal Article Type: Article
• Publication Date: 2009-10
• Deposit Date: Jul 21, 2011
• Journal: Econometric Theory
• Print ISSN: 0266-4666
• Electronic ISSN: 1469-4360
• Publisher: Cambridge University Press
• Volume: 25
• Issue: 5
• Pages: 1348-1391
• DOI: https://doi.org/10.1017/s0266466608090531
• Public URL: https://durham-repository.worktribe.com/output/1505919