Bun, Maurice; Windmeijer, Frank - Centre for Microdata Methods and Practice (CEMMAP) - 2007
<p><p><p>The system GMM estimator for dynamic panel data models combines moment conditions for the model in first differences with moment conditions for the model in levels. It has been shown to improve on the GMM estimator in the first differenced model in terms of bias and root mean squared error....</p></p></p>