Alternative GMM estimators for first-order autoregressive panel model: An improving efficiency approach

Ahmed H. Youssef, Mohamed R. Abonazel
2015 Communications in statistics. Simulation and computation  
This paper considers first-order autoregressive panel model which is a simple model for dynamic panel data (DPD) models. The generalized method of moments (GMM) gives efficient estimators for these models. This efficiency is affected by the choice of the weighting matrix which has been used in GMM estimation. The non-optimal weighting matrices have been used in the conventional GMM estimators. This led to a loss of efficiency. Therefore, we present new GMM estimators based on optimal or
more » ... optimal or suboptimal weighting matrices. Monte Carlo study indicates that the bias and efficiency of the new estimators are more reliable than the conventional estimators.
doi:10.1080/03610918.2015.1073307 fatcat:rqyvrdew4nat3enfdk7x7mgoxy