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Título

System GMM Estimation With A Small Sample

AutorSoto, Marcelo
Palabras claveEconomic Growth
System GMM estimation
Monte Carlo Simulations
Fecha de publicación1-sep-2009
SerieUFAE and IAE Working Papers ; 780.09
ResumenProperties 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.
Descripción27 pages, 1 figure, 6 tables.-- JEL Classification Codes: C15, C33, O11.
Versión del editorhttp://pareto.uab.es/wp/2009/78009.pdf
URIhttp://hdl.handle.net/10261/17702
Aparece en las colecciones: (IAE) Informes y documentos de trabajo
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