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...

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...

We suggest a new class of cross-sectional space-time models based on local AR models and nearest neighbors using distances between observations. For the estimation we use a tightness prior for prediction of regional GDP forecasts. We extend the model to the model with exogenous variable model...

It is a well-known property that standard GMM estimators for dynamic panel data might perform poorly in small samples. Several papers have noted this to be especially true for the estimated standard errors, which are normally biased downwards. The aim of the present paper is to compare how two...

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...

We investigate the determinants of renewable energy R&D intensity and the impact of renewable energy innovations on firm performance, using several dynamic panel data models. We estimate these models using a large dataset of European firms of 19 different countries, with some patenting activity...