Estimation in dynamic panel data models: Improving on the performance of the standard GMM estimator

By Richard Blundell, Stephen R. Bond, F. Windmeijer. 2000

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In Economics and Econometrics

Citations in the corpus

Foreign ownership and productivity: Is the direction of causality so obvious? (2006, background): “3On this issue see Blundell and Bond (2000) and Blundell, Bond, and Windmeijer (2000). reductions in …nite sample biases can be gained if one is willing to assume that: E(¢nit´ ¤ i ) = 0 for n = m; l; k; O and t = 2; :::; T and E(¢yi2´¤i ) = 0 Under these restrictions 5£ (T ¡3) additional moment…”
The Weak Instrument Problem of the System GMM Estimator in Dynamic Panel Data Models (2010, neutral): “The full set of linear moment conditions under assumptions (2), (3), (4) and (7) is given by”
Macroeconomic and Bank-Specific Determinants of Nonperforming Loans in Greece: A Comparative Study of Mortgage, Business and Consumer Loan Portfolios (2010, neutral): “Arellano and Bond (1991), Arellano and Bover (1995) and Blundel and Bond (1998).”
Do Firms Use the Trade Credit Channel to Manage Growth? (2013, neutral): “validity, although Blundell et al. (2000) report Monte-Carlo evidence that this test tends to over-reject, especially when the data are persistent and the number of time-series observations large.”
Institutional Quality and Economic Growth: The Case of Emerging Economies (2018, methodology): “The model is estimated with SGMM estimator to control for potential endonegeity ([32] [33]).”
Ownership of Stocks and Mutual Funds: A Panel Data Analysis (2004, methodology): “These weights are constructed using information from a much larger data (8)According to Blundell et al. (2000), additional moment restrictions based upon a mean stationarity assumption can be used to improve efficiency. Specifications imposing these additional restrictions were strongly rejected, ho”
The Direct Incidence of Corporate Income Tax on Wages (2010, neutral): “22 the absence of endogenous regressors, the pooled OLS estimator of the coefficient of the lagged dependent variable is upward-biased while the WG and the OLS on the firstdifferenced estimators are downward-biased estimate (Blundell et al., 2000).”
The Effects of Dynamic Feedbacks on LS and MM Estimator Accuracy in Panel Data Models (2006, methodology): “In Kiviet (1999) higher-order asymptotic methods have been applied to LSDV and to particular simple MM methods in dynamic panel data models with predetermined regressors which employ a number of instruments equal to the number of regressors.”