Okui, Ryo - In: Journal of Econometrics 151 (2009) 1, pp. 1-16
This paper derives an approximation of the mean square error (MSE) of the GMM estimator in dynamic panel data models. The approximation is based on higher-order asymptotic theory under double asymptotics. While first-order theory under double asymptotics provides information about the bias, it...