On IV, GMM and ML in a dynamic panel data model

被引：14
|
作者：
Wansbeek, T
Bekker, P
机构：
[1] Department of Economics, Groningen University, 9700 AV Groningen
来源：
ECONOMICS LETTERS | 1996年 / 51卷 / 02期
关键词：
panel data; instrumental variables; generalized method of moments;
D O I：
10.1016/0165-1765(95)00785-7
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
For the basic dynamic panel data model we give an expression for the optimal instrumental variable (IV) estimator and show that the generalized method of moments (GMM) does not add to the asymptotic efficiency. It is recommended to exploit the full set of orthogonality conditions as given by Ahn and Schmidt.
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页码：145 / 152
页数：8
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