On the Behavior of the GMM estimator in Persistent Dynamic Panel Data Models with Unrestricted Initial Conditions
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On the behaviour of the GMM estimator in persistent dynamic panel data models with unrestricted initial conditions
This paper investigates the behavior of the first-difference GMM estimator for dynamic panel data models when persistency of data is (moderately) strong and initial conditions are unrestricted. We show that initial conditions affect the rate of convergence of the GMM estimator under a local to unity system where autoregressive parameter is modeled as αN = 1− c/Np where N is the cross-sectional ...
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تاریخ انتشار 2010