fixed and flexible exchange rates. For these ends, a sample of 83 countries for the 1974-1998 period, the GMM methodology … for dynamic proposal panel models proposed by Arellano and Bond (1991) and diverse exchange rate classifications are used … the possibility of indebtedness and of the characteristics of the international finance system –integration, volatility …

uncertainty problem when the considered process is not observed but depends on estimators of unknown parameters. We also consider …

We construct higher order expressions for Wald and Lagrange multiplier (LM) GMM statistics that are based on 2step and … parameter in a panel autoregressive model to illustrate the consequences of the higher order.terms and the improvement that …

This paper provides a first order asymptotic theory for generalized method of moments (GMM) estimators when the number … panel data models covering moderate time spans and with correspondingly large numbers of instruments. Under certain … regularity conditions, the GMM estimators are shown to converge in probability but not necessarily to the true parameter. A …

Coelli for the frontier production function problem. The paper presents a number of GMM estimators based on assumptions of … errors it is less efficient than a GMM estimator. The model is applied to the measurement of the cost efficiency of Spanish …

This paper derives conditions under which the generalized method of moments (GMM) estimator is as efficient as the … study the efficiency of GMM in a general framework where the set of moment conditions may be finite, countable infinite, or … a continuum. Our main result is the following. GMM estimator is efficient if and only if the true score belongs to the …

models. Using the continously-updated GMM estimator proposed by Hansen, Heaton and Yaron (1996) and the 3-step GMM estimator …