Sequential and efficient GMM estimation of dynamic short panel data models

This paper considers generalized method of moments (GMM) and sequential GMM (SGMM) estimation dynamic short panel data models. The efficient motivated from the quasi maximum likelihood (QML) can avoid use many instrument variables (IV) for estimation. It be asymptotically as estimators (MLE) when disturbances are normal, more than QML not normal. SGMM, which also incorporates IVs, generalizes minimum distance originated in Hsiao et al. . By focusing on parameters interest, SGMM saves computational burden caused by nuisance such variances disturbances. is corresponding GMM. In particular, based scores generate a closed-form root estimator parameter, estimator. Nuisance estimated efficiently an additional step if they interest.