GMM estimation for dynamic panels with fixed effects and strong instruments at unity

Chirok Han, Peter C.B. Phillips

Research output: Contribution to journalArticle

61 Citations (Scopus)

Abstract

This paper develops new estimation and inference procedures for dynamic panel data models with fixed effects and incidental trends. A simple consistent GMM estimation method is proposed that avoids the weak moment condition problem that is known to affect conventional GMM estimation when the autoregressive coefficient () is near unity. In both panel and time series cases, the estimator has standard Gaussian asymptotics for all values of (1, 1] irrespective of how the composite cross-section and time series sample sizes pass to infinity. Simulations reveal that the estimator has little bias even in very small samples. The approach is applied to panel unit root testing.

Original languageEnglish
Pages (from-to)119-151
Number of pages33
JournalEconometric Theory
Volume26
Issue number1
DOIs
Publication statusPublished - 2010 Feb

ASJC Scopus subject areas

  • Social Sciences (miscellaneous)
  • Economics and Econometrics

Fingerprint Dive into the research topics of 'GMM estimation for dynamic panels with fixed effects and strong instruments at unity'. Together they form a unique fingerprint.

  • Cite this