remaining parameters are estimated by GMM at the √N-rate. We provide simulation results that illustrate advantages of the new … method in comparison with pure GMM estimation. The simulations also highlight the importance of the choice of instruments in … GMM estimation. …

remaining parameters are estimated by GMM at the ÍN-rate. We provide simulation results that illustrate advantages of the new … method in comparison with pure GMM estimation. The simulations also highlight the importance of the choice of instruments in … GMM estimation. …

875 Indian non-financial firms for the period 2002–2010. The GMM turns out to be the most appropriate among the three …

This paper investigates a generalized method of moments (GMM) approach to the estimation of autoregressive roots near … and in dynamic panel data modeling with weak instruments. The two moment conditions in the GMM approach are obtained by …). Assuming that the localizing parameter takes a nonpositive value, we establish consistency of the GMM estimator and find its …

This paper investigates a generalized method of moments (GMM) approach to the estimation of autoregressive roots near … makes a nonpositive value, we establish consistency of the GMM estimator and find its limiting distribution. A notable new … finding is that the GMM estimator has convergence rate n^{1/6}, slower than root{n}, when the true localizing parameter is …

remarkably increase the efficiency of the system GMM estimator. This additional condition is essentially a condition of …

instruments devised by Anderson, Hsiao (1981, 1982) for the dynamic model, the proposed approach can outperform the GMM methods …