This paper contributes to the GMM literature by introducing the idea of self-instrumenting target variables instead of …¤erent experimental designs and sample sizes, including in the case of experiments where the system GMM estimators are inconsistent. We …

of moments (GMM) estimator can be severely downward biased in small samples. The weight matrix used in the calculation of … the efficient two-step GMM estimator is based on initial consistent parameter estimates. In this paper it is shown that … difference between the finite sample and the asymptotic variance of the two-step GMM estimator that utilises moment conditions …

While the limiting null distributions of cointegration tests are invariant to a certain amount of conditional … attention to dependence among cross-sectional units, be it time-dependent or not. To obtain a panel cointegration test robust to … covariates, and for any variance profile. Furthermore, a test for the null of no cointegration - in effect, a joint test against …

This paper presents results concerning the performance of both single equation and system panel cointegration tests and … unit circle, of I(2) components, of short-run cross-sectional correlation and of cross-unit cointegration on the … components are considered. -- cross-sectional dependence ; estimator ; panel cointegration ; simulation study ; test …

model allows OLS-methods to be as efficient as (multivariate) full information maximum likelihood methods under a few … assumptions on weak exogeneity and cointegration. We consider OLS-based tests on long-run relationships, weak exogeneity and short … correction models ; panel cointegration analysis ; bootstrap …