Small sample bias properties of the system GMM estimator in dynamic panel data models
Small sample bias properties of the system GMM estimator in dynamic panel data models
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DOI：
10.1016/j.econlet.2006.09.011
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发表时间：
2007-04-01
影响因子：
2
通讯作者：
Hayakawa, Kazuhiko
中科院分区：
文献类型：
--
作者：
Hayakawa, Kazuhiko
通过推导有限样本偏差，分析了动态面板数据模型中的系统GMM估计量比一阶差分估计量或水平估计量偏小的原因，尽管前者使用了更多的工具。(c) 2006 Elsevier B.V.版权所有
By deriving the finite sample biases, this paper shows analytically why the system GMM estimator in dynamic panel data models is less biased than the first differencing or the level estimators even though the former uses more instruments. (c) 2006 Elsevier B.V. All rights reserved.