Bergström, Pål; Dahlberg, Matz; Johansson, Eva - Nationalekonomiska Institutionen, Uppsala Universitet - 1997
Two different bootstrap approaches for GMM estimation have recently been suggested for use in dynamic panel data models (Brown & Newey (1995) and Hall & Horowitz (1996)) In this paper we compare the small sample properties of these estimators, suggest how sequential testing can be conducted...