The optimal choice of moments in dynamic panel data models

By Ryo Okui. 2009

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Small sample bias properties of the system GMM estimator in dynamic panel data models (2007, methodology): “3Ziliak (1997) has shown by simulation that the trade-off between the efficiency and the bias of the estimator is still binding in static panel data models with predetermined variables, while Okui (2004) proposed a procedure for the optimal choice of instruments in dynamic panel data models.”
Accuracy and Efficiency of Various GMM Inference Techniques in Dynamic Micro Panel Data Models (2017, background): “For example: the simulation results in Arellano and Bover [3], Hahn and Kuersteiner [4], Alvarez and Arellano [5], Hahn et al. [6], Kiviet [7], Kruiniger [8], Okui [9], Roodman [10], Hayakawa [11] and Han and Phillips [12] just concern the panel AR(1) model under homoskedasticity.”
THE ASYMPTOTIC PROPERTIES OF THE SYSTEM GMM ESTIMATOR IN DYNAMIC PANEL DATA MODELS WHEN BOTH N AND T ARE LARGE (2015, unknown): “[16] Okui, R.”
A SIMPLE EFFICIENT INSTRUMENTAL VARIABLE ESTIMATOR FOR PANEL AR(p) MODELS WHEN BOTH N AND T ARE LARGE (2009, unknown): “We consider the cases of (T,N) = (10,100), (10,500), (15,100), (15,300), (20,100), (20,200), (50,100), and (100,100).”