Sequential and efficient GMM estimation of dynamic short panel data models

Jin, F; Lee, LF; Yu, JH

Yu, JH (corresponding author), Peking Univ, Guanghua Sch Management, Beijing, Peoples R China.

ECONOMETRIC REVIEWS, 2021; 40 (10): 1007

Abstract

This paper considers generalized method of moments (GMM) and sequential GMM (SGMM) estimation of dynamic short panel data models. The efficient GMM mo......

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