The weak instrument problem of the system GMM estimator in dynamic panel data models-Reference-Cited by-同舟云学术

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The weak instrument problem of the system GMM estimator in dynamic panel data models

Published:2010-02-01 Issue:1 Volume:13 Page:95-126
ISSN:1368-4221
Container-title:The Econometrics Journal
language:en
Short-container-title:

Author:

Bun Maurice J. G.¹,Windmeijer Frank²³

Affiliation:

1. Department of Quantitative Economics, University of Amsterdam, Amsterdam 1018 WB, The Netherlands

2. Department of Economics, University of Bristol, Bristol BS8 1TN, UK

3. Centre for Microdata Methods and Practice, Institute for Fiscal Studies, 7 Ridgmount Street, London WC1E 7AE, UK

Publisher

Oxford University Press (OUP)

Subject

Economics and Econometrics

Link

http://academic.oup.com/ectj/article-pdf/13/1/95/27664478/ectj0095.pdf

Reference35 articles.

1. The time series and cross‐section asymptotics of dynamic panel data estimators;Alvarez;Econometrica,2003

2. Some tests of specification for panel data: Monte Carlo evidence and an application to employment equations;Arellano;Review of Economic Studies,1991

3. Another look at the instrumental variable estimation of error‐components models;Arellano;Journal of Econometrics,1995

4. Initial conditions and moment restrictions in dynamic panel data models;Blundell;Journal of Econometrics,1998

5. Estimation in dynamic panel data models: Improving on the performance of the standard GMM estimator

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