Dynamic Panel Data Model and Moment Generating Function

This paper proposes new sets of moment restrictions for consistently estimating the dynamic panel data model. These sets are derived from solving the moment generating functions of the error term for the dynamic panel data model and have the relevancy with some well-known sets of moment restrictions proposed up to this point in time. To investigate small sample properties for GMM estimators based on these sets, Monte Carlo experiments were conducted. The Monte Carlo experiments show that the GMM estimators based on some of these sets exhibit good small sample properties for some values of the so-called adjusting parameter.