New GMM Estimators for Dynamic Panel Data Models

Youssef, Ahmed H. and El-Sheikh, Ahmed A. and Abonazel, Mohamed R. (2014): New GMM Estimators for Dynamic Panel Data Models. Published in: International Journal of Innovative Research in Science, Engineering and Technology , Vol. 3, No. 10 (October 2014): pp. 16414-16425.

Abstract

In dynamic panel data (DPD) models, the generalized method of moments (GMM) estimation gives efficient estimators. However, this efficiency is affected by the choice of the initial weighting matrix. In practice, the inverse of the moment matrix of the instruments has been used as an initial weighting matrix which led to a loss of efficiency. Therefore, we will present new GMM estimators based on optimal or suboptimal weighting matrices in GMM estimation. Monte Carlo study indicates that the potential efficiency gain by using these matrices. Moreover, the bias and efficiency of the new GMM estimators are more reliable than any other conventional GMM estimators.

• Item Type: MPRA Paper
• Language: English
• Keywords: Dynamic panel data, Generalized method of moments, Monte Carlo simulation, Optimal and suboptimal weighting matrices.
• Subjects: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General; C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C15 - Statistical Simulation Methods: General; C - Mathematical and Quantitative Methods > C4 - Econometric and Statistical Methods: Special Topics; C - Mathematical and Quantitative Methods > C5 - Econometric Modeling; C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C58 - Financial Econometrics

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