Use this identifier to quote or link this document: http://hdl.handle.net/2072/41978

System GMM estimation with a small sample
Soto, Marcelo
Universitat Autònoma de Barcelona. Unitat de Fonaments de l'Anàlisi Econòmica; Institut d'Anàlisi Econòmica
Properties of GMM estimators for panel data, which have become very popular in the empirical economic growth literature, are not well known when the number of individuals is small. This paper analyses through Monte Carlo simulations the properties of various GMM and other estimators when the number of individuals is the one typically available in country growth studies. It is found that, provided that some persistency is present in the series, the system GMM estimator has a lower bias and higher efficiency than all the other estimators analysed, including the standard first-differences GMM estimator.
2009-11-02
Desenvolupament econòmic
Econometria
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Working Paper
Working papers; 780.09
         

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Zboromyrska, Yuliya; Calle, Cristina de la; Soto, Marcelo; Sampietro-Colom, Laura; Soriano Viladomiu, Alex; Álvarez Martínez, Míriam; Almela, M. (Manel); Marco Reverté, Francesc; Arjona, Ruth; Cobos-Trigueros, Nazaret; Morata, Laura; Mensa Pueyo, Josep; Martínez, José Antonio (Martínez Martínez); Mira, Aurea; Vila Estapé, Jordi
Zboromyrska, Yuliya; Calle, Cristina de la; Soto, Marcelo; Sampietro-Colom, Laura; Soriano Viladomiu, Alex; Álvarez Martínez, Míriam; Almela, M. (Manel); Marco Reverté, Francesc; Arjona, Ruth; Cobos-Trigueros, Nazaret; Morata, Laura; Mensa Pueyo, Josep; Martínez, José Antonio (Martínez Martínez); Mira, Aurea; Vila Estapé, Jordi
 

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