Ashley, Richard A.; Sun, Xiaojin - In: Econometrics : open access journal 4 (2016) 4, pp. 1-13
The two-step GMM estimators of Arellano and Bond (1991) and Blundell and Bond (1998) for dynamic panel data models have … computationally feasible variation on these standard two-step GMM estimators by applying the idea of continuous-updating to the … not alter the asymptotic distribution of the two-step GMM estimators, and it therefore retains consistency. Our simulation …