Bun, Maurice J.G.; Windmeijer, Frank - Tinbergen Instituut - 2009
The system GMM estimator for dynamic panel data models combines moment conditions for the model in first differences … results are shown to extend to the panel data GMM estimators. This discussion paper resulted in a publication in <A href … model in terms of bias and root mean squared error. However, we show in this paper that in the covariance stationary panel …