A solution to the problem of too many instruments in dynamic panel data GMM

Jens Mehrhoff

The well-known problem of too many instruments in dynamic panel data GMM is dealt with in detail in Roodman (2009, Oxford Bull. Econ. Statist.). The present paper goes one step further by providing a solution to this problem: factorisation of the standard instrument set is shown to be a valid transformation for ensuring consistency of GMM. Monte Carlo simulations show that this new estimation technique outperforms other possible transformations by having a lower bias and RMSE as well as greater robustness of overidentifying restrictions. The researcher's choice of a particular transformation can be replaced by a data-driven statistical decision. -- Dynamic Panel Data ; Generalised Method of Moments ; Instrument Proliferation ; Factor Analysis

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Year of publication:	Febr. 2009
Authors:	Mehrhoff, Jens
Publisher:	Essen : Univ. Duisburg-Essen, Standort Essen, Fachbereich Wirtschaftswiss.
Subject:	Panel \| Panel study \| Momentenmethode \| Method of moments \| Monte-Carlo-Simulation \| Monte Carlo simulation \| Faktorenanalyse \| Factor analysis \| Robustes Verfahren \| Robust statistics \| Theorie \| Theory

Extent:	Online-Ressource (13 S.)
Series:	Diskussionsbeiträge aus dem Fachbereich Wirtschaftswissenschaften der Universität Duisburg-Essen, Standort Essen. - Essen : [Verlag nicht ermittelbar], ZDB-ID 2158970-7. - Vol. 171
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature
Language:	English
Notes:	Parallel als Druckausg. erschienen
Other identifiers:	hdl:10419/32105 [Handle]
Classification:	C13 - Estimation ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C23 - Models with Panel Data ; C81 - Methodology for Collecting, Estimating, and Organizing Microeconomic Data
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10003839001