Work

System GMM Estimation With A Small Sample

Year: 2009

Type: report

Abstract: Properties of GMM estimators for panel data, which have become very popular in the empirical economic growth literature, are not well known when the number of individuals is small. This paper analyses through Monte Carlo simulations the properties of various GMM and other estimators when the number of individuals is the one typically available in country growth studies. It is found that, provided that some persistency is present in the series, the system GMM estimator has a lower bias and higher efficiency than all the other estimators analysed, including the standard first-differences GMM estimator.

Source: DIGITAL.CSIC (Spanish National Research Council (CSIC))

Authors: Soto, Marcelo, Universitat Autònoma de Barcelona. Unitat de Fonaments de l'Anàlisi Econòmica, Institut d'Anàlisi Econòmica

Institutions: Consejo Superior de Investigaciones Científicas, Institut d'Anàlisi Econòmica

Language: English

Topic: Spatial and Panel Data Analysis

Subfield: Economics and Econometrics

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

Funders: Generalitat de Catalunya, Ministerio de Ciencia e Innovación

OpenAlex ID: W2135728466

Cites: 15

Cited by: 138

Related to: 10