On IV, GMM and ML is a dynamic panel data model

T.J. Wansbeek*, P.A. Bekker

*Corresponding author for this work

Research output: Contribution to journalArticleAcademicpeer-review

16 Citations (Scopus)

Abstract

For the basic dynamic panel data model we give an expression for the optimal instrumental variable (IV) estimator and show that the generalized method of moments (GMM) does not add to the asymptotic efficiency. It is recommended to exploit the full set of orthogonality conditions as given by Ahn and Schmidt.
Original languageEnglish
Pages (from-to)145-152
Number of pages8
JournalEconomics Letters
Volume51
Issue number2
DOIs
Publication statusPublished - 1996

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