Munich Personal RePEc Archive

Alternative GMM Estimators for First-order Autoregressive Panel Model: An Improving Efficiency Approach

Youssef, Ahmed and Abonazel, Mohamed R. (2015): Alternative GMM Estimators for First-order Autoregressive Panel Model: An Improving Efficiency Approach. Forthcoming in: Communications in Statistics - Simulation and Computation

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Abstract

This paper considers first-order autoregressive panel model which is a simple model for dynamic panel data (DPD) models. The generalized method of moments (GMM) gives efficient estimators for these models. This efficiency is affected by the choice of the weighting matrix which has been used in GMM estimation. The non-optimal weighting matrices have been used in the conventional GMM estimators. This led to a loss of efficiency. Therefore, we present new GMM estimators based on optimal or suboptimal weighting matrices. Monte Carlo study indicates that the bias and efficiency of the new estimators are more reliable than the conventional estimators.

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