and Till von Wachter for helpful discussions and suggestions. All errors are of my own responsibility.

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 m...

The commonly used 1-step and 2-step System GMM estimators for the panel AR(1) model are inconsistent under mean stationarity when ratio of variance individual effects to idiosyncratic errors is unbounded N→∞. reason their inconsistency that weight matrices select moment conditions do not identify autoregressive parameter. This paper proposes a new estimator still consistent in this case provide...