GMM Estimation and Inference in Dynamic Panel Data Models with Persistent Data.
(2009)
Journal Article
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 pr... Read More about GMM Estimation and Inference in Dynamic Panel Data Models with Persistent Data..