The Asymptotic Properties of the System GMM Estimator in Dynamic Panel Data Models When Both N and T are Large
This paper complements Alvarez and Arellano (2003) by showing the asymptotic properties of the system GMM estimator for AR(1) panel data models when both N and T tend to infinity. We show that the system GMM estimator with the instruments which Blundell and Bond (1998) used will be inconsistent when both N and T are large. We also show that the system GMM estimator with all available instruments, including redundant ones, will be consistent if ƒÐ<sub>ƒÅ</sub><sup>2</sup>/ƒÐ<sub>v</sub><sup>2</sup> = 1-ƒ¿ holds.
Year of publication: |
2006-01
|
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Authors: | Hayakawa, Kazuhiko |
Institutions: | Institute of Economic Research, Hitotsubashi University |
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freely available
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