The well-known problem of too many instruments in dynamic panel data GMM is dealt with in detail in Roodman (2009 … simulations show that this new estimation technique outperforms other possible transformations by having a lower bias and RMSE as …

Limit theory is developed for the dynamic panel GMM estimator in the presence of an autoregressive root near unity. In … usual instruments are uncorrelated with the regressor but irrelevance does not prevent consistent estimation. The same … Cauchy limit theory holds sequentially and jointly as (n,T) → ∞ with no restriction on the divergence rates of n and T. When …

method of moments (CU-GMM) estimators of dynamic panel models when the data is close to non-stationary. This case is far from …

Using panel data for 2,329 Belgian firms observed between 1985 and 1999, this paper aims at getting a better …

The two-step GMM estimators of Arellano and Bond (1991) and Blundell and Bond (1998) for dynamic panel data models have … samples in terms of the estimation accuracy on the autoregressive parameter and the size of the Sargan-Hansen test. …

trade with each other at all in our preferred estimation. …

estimate a linear panel AR(1) version of an Engel curve for six consumption composites using iterated GMM. We find that the …

-specific heterogeneity and dynamic relationships in panel data. The model structure renders standard estimation techniques inconsistent …The linear dynamic panel data model provides a possible avenue to deal with unobservable individual …. Estimation and inference can, however, be carried out with the generalized method of moments (GMM) by suitably aggregating …

spatially correlated errors in static panel data models, is extended by introducing fixed effects, a spatial lag, and a one …-period lag of the dependent variable as additional explanatory variables. Combining this approach with the dynamic panel-data GMM …, spatial lags, and sets of exogenous variables yields new spatial dynamic panel data estimators. The proposed spatially …

Poisson for panel data; GMM estimation using quasi-differenced moment conditions eliminating unobserved heterogeneity and …ExpEnd is a Gauss programme for non-linear generalised method of moments (GMM) estimation of exponential models with … endogenous regressors for cross section and panel data. The estimators included in this package are simple Poisson pseudo ML; GMM …