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

T.J. Wansbeek; P.A. Bekker

doi:10.1016/0165-1765(95)00785-7

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

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

^*Corresponding author for this work

Economics, Econometrics and Finance

Research output: Contribution to journal › Article › Academic › peer-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 language	English
Pages (from-to)	145-152
Number of pages	8
Journal	Economics Letters
Volume	51
Issue number	2
DOIs	https://doi.org/10.1016/0165-1765(95)00785-7
Publication status	Published - 1996

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

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.",

author = "T.J. Wansbeek and P.A. Bekker",

year = "1996",

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T1 - On IV, GMM and ML is a dynamic panel data model

AU - Wansbeek, T.J.

AU - Bekker, P.A.

PY - 1996

Y1 - 1996

N2 - 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.

AB - 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.

U2 - 10.1016/0165-1765(95)00785-7

DO - 10.1016/0165-1765(95)00785-7

M3 - Article

VL - 51

SP - 145

EP - 152

JO - Economics Letters

JF - Economics Letters

IS - 2

ER -

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

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