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Takuya Hasebe
 
''The tests for the level moment conditions: GMM estimation in a linear dynamic panel data model''
( 2012, Vol. 32 No.1 )
 
 
This paper compares the power of alternative tests for the level moment conditions in GMM estimation of a linear dynamic panel data model. The test statistic calculated conventionally can take on a negative value in finite samples even though it cannot be asymptotically. A straightforward modification makes the test statistic nonnegative. Monte Carlo simulations show that the test can gain power from the modification.
 
 
Keywords: GMM, Dynamic panel data, Overidentifying restrictions test
JEL: C3 - Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions
C1 - Econometric and Statistical Methods: General
 
Manuscript Received : Oct 04 2011 Manuscript Accepted : Jan 27 2012

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