An Alternative System GMM Estimation in Dynamic Panel Models

다국어 초록 (Multilingual Abstract)

The system GMM estimator in dynamic panel data models which combines two sets of moment conditions, i.e., for the differenced equation and for the model in levels, is known to be more efficient than the first-difference GMM estimator. However, an initial optimal weight matrix is not known for the system estimation procedure. Therefore, we suggest the use of `a suboptimal weight matrix' which may reduce the finite sample bias whilst increasing its asymptotic efficiency. Our Monte Carlo experiments show that the small sample properties of the suboptimal system estimator are much more reliable than any other conventional system GMM estimator in terms of bias.

참고문헌 (Reference)

1 Kiviet, J. F, "The Refinement of Econometric Estimation and Test Procedures" Cambridge University Press 282-318, 2007

2 Arellano, M, "Some tests of specification for panel data : Monte Carlo evidence and an application to employment equations" 58 : 277-297, 1991

3 Hayakawa, K, "Small Sample Bias Properties of the System GMM Estimators in Dynamic Panel Data Models" Hitotsubashi University 2005

4 Liu, S, "Several Matrix Knatorovich-Type Inequalities" 197 : 23-26, 1996

5 Griliches Z, "Production Functions: The Search for Identification" NBER 1995

6 Blundell, R, "Initial conditions and moment restrictions in dynamic panel data models" 87 : 115-143, 1998

7 Black, S. E, "How to Compete : The Impact ofWorkplace Practices and Information Technology on Productivity" 83 : 435-445, 2001

8 Newey, W. K, "Higher Order Properties of GMM and Generalized Empirical Likelihood Estimators" 72 : 219-255, 2004

9 Alonso-Borrego, C, "GMM Estimation of a Production Function with Panel Data: An Application to Spanish Manufacturing Firms" Universidad Carlos III 2001

10 Nerlove, M, "Further evidence on the estimation of dynamic economic relations from a time series of cross-sections" 39 : 359-382, 1971

11 Anderson, T.W, "Formulation and estimation of dynamic models using panel data" 18 : 47-82, 1982

12 Anderson, T.W, "Estimation of dynamic models with error components" 76 : 598-606, 1981

13 Fukao, K, "Estimation Procedures and TFP Analysis of the JIP Database 2006 Provisional Version" 2006

14 Ahn, S.C, "Efficient estimation of models for dynamic panel data" 68 : 29-52, 1995

15 Windmeijer, F, "Efficiency Comparisons for a System GMM Estimator in Dynamic Panel Data Models, Innovations in Multivariate Statistical Analysis" 36 : 175-184, 2000

16 Nickell, S, "Biases in dynamic models with fixed effects" 49 : 1399-1416, 1981

17 Arellano, M, "Another look at the instrumental variable estimation of error-components models" 68 : 29-52, 1995

18 Mehrhoff, J, "A solution to the problem of too many instruments in dynamic panel data GMM" Economic Studies, Deutsche Bundesbank 2009

19 Windmeijer, F, "A finite sample correction for the variance of linear efficient two-step GMM Estimator" 126 : 25-51, 2005