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

^*Bijbehorende auteur voor dit werk

Economics, Econometrics and Finance

Onderzoeksoutput › Academic › peer review

16 Citaten (Scopus)

Samenvatting

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.

Originele taal-2	English
Pagina's (van-tot)	145-152
Aantal pagina's	8
Tijdschrift	Economics Letters
Volume	51
Nummer van het tijdschrift	2
DOI's	https://doi.org/10.1016/0165-1765(95)00785-7
Status	Published - 1996

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