The system GMM estimator for dynamic panel data models combines moment conditions for the model in first differences … model in terms of bias and root mean squared error. However, we show in this paper that in the covariance stationary panel … results are shown to extend to the panel data GMM estimators. …

autoregressive panel series. It considers the use of the system GMM estimator that relies on relatively mild restrictions on the … sample bias. An application to panel production function data for the US is provided and confirms these theoretical and …