Small sample bias properties of the system GMM estimator in dynamic panel data models

By Kazuhiko Hayakawa. 2007

250 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/0d160bc8a2cdbba6f9193174d0451651c25e0f37

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In Economics and Econometrics

Citations in the corpus

Democracy, foreign direct investment and natural resources (2011, background): “[23] Hayakawa, Kazuhiko, 2007, Small Sample Bias Properties of the System GMM Estimator in Dynamic Panel Data Models,Economics Letters 95(1), 32-38.”
The determinants of net interest income in the Mexican banking system: an integrated model (2009, background): “Literature review The initial study on the determinants of bank interest margins by Ho and Saunders (1981) modeled the behavior of a bank that acts as intermediary between lenders and borrowers.”
Does fiscal decentralization foster regional investment in productive infrastructure (2013, methodology): “The reliability of system GMM results for N=20 is doubtful according to most simulation studies on the properties of system GMM and according to Hayakawa (2007) the bias of system GMM is inversely related to N.”
Robust Standard Errors in Transformed Likelihood Estimation of Dynamic Panel Data Models (2015, unknown): “Suggested Citation: Hayakawa, Kazuhiko; Pesaran, M. Hashem (2012) : Robust standard errors in transformed likelihood estimation of dynamic panel data models, Discussion Paper series, Forschungsinstitut zur Zukunft der Arbeit, No.”
Do environmental, social and governance performance affect the financial performance of banks? A cross-country study of emerging market banks (2019, unknown): “…2, 𝑡 = 3, … , 𝑇 (4) 𝐸[(𝑦𝑖𝑡−𝑙 − 𝑦𝑖𝑡−𝑙−1)(𝜇𝑖 + 𝜀𝑖𝑡)] = 0, 𝑓𝑜𝑟 𝑙 = 1 (5) 𝐸[(𝑋𝑖,𝑡−𝑙 − 𝑋𝑖,𝑡−𝑙−1)(𝜇𝑖 + 𝜀𝑖𝑡)] = 0, 𝑓𝑜𝑟 𝑙 = 1 (6) It might be noted that out of the two GMM models, system GMM is superior in the case of unbalanced panel data since standard GMM has the…”
Response of residential electricity demand to price: The effect of measurement error (2011, methodology): “5 With unbalanced panels, by the time T reaches 30, Judson and Owen found the LSDV estimator without bias correction is superior to the Arellano-Bond estimators. Bruno (2005) develops the LSDVC estimator for unbalanced panel.”
Democracy, Political Risks and Stock Market Performance (2015, unknown): “System GMM avoids problem of poor instruments by introducing additional moment conditions and Hayakawa (2007) has shown theoretically that system GMM is less biased in small samples than difference GMM.”
The Weak Instrument Problem of the System GMM Estimator in Dynamic Panel Data Models (2010, unknown): “Estimation of the panel AR(1) model by 2SLS, using all available time periods and the full set of sequential moment conditions for the DIF and SYS models (6) and (12) will result in a weighted average of the period specific 2SLS estimates.”
Estimation of linear dynamic panel data models with time‐invariant regressors (2019, result): “23This observation is consistent with the results of Hayakawa (2007).”