This file is part of IDEAS , which uses RePEc data
[ Papers |
Articles |
Software |
Books |
Chapters |
Authors |
Institutions |
JEL Classification |
NEP reports |
Search |
New papers by email |
Author registration |
Rankings |
Volunteers |
FAQ |
Blog |
Help! ]
GMM Estimation of Empirical Growth Models Author info | Abstract | Publisher info | Download info | Related research | Statistics Stephen Bond (Nuffield College and Institute for Fiscal Studies )
Anke Hoeffler (St Antony's College and Centre for the Study of African Economics)
Jonathan Temple () (Department of Economics, University of Bristol)
Additional information is available for the following
registered author(s):
This paper highlights a problem in using the first-difference GMM panel data estimator cross-country growth regressions. When the time series are persistent, the first-differenced GMM estimator can be poorly behaved, since lagged levels of the series provide only weak instruments for subsequent first-differences. Revisiting the work of Caselli, Esquivel and Lefort (1996), we show that this problem may be serious in practice. We suggest using a more efficient GMM estimator that exploits stationarity restrictions, and this approach is shown to give more reasonable results than first-differenced GMM in our estimation of an empirical growth model.
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page . Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Paper provided by Economics Group, Nuffield College, University of Oxford in its series Economics Papers with number
2001-W21.
Download reference. The following formats are available: HTML
(with abstract ),
plain text
(with abstract ),
BibTeX ,
RIS (EndNote, RefMan, ProCite),
ReDIF
Length: 35 pages
Date of creation: 12 Sep 2001Date of revision:
Handle: RePEc:nuf:econwp:0121Contact details of provider: Web page: http://www.nuff.ox.ac.uk/economics/
For technical questions regarding this item, or to correct its listing, contact: (Maxine Collett).
Keywords: convergence ; growth ; generalised method of moments ; weak instruments. ; Other versions of this item:
Find related papers by JEL classification: O41 - Economic Development, Technological Change, and Growth - - Economic Growth and Aggregate Productivity - - - One, Two, and Multisector Growth Models O47 - Economic Development, Technological Change, and Growth - - Economic Growth and Aggregate Productivity - - - Measurement of Economic Growth; Aggregate Productivity; Cross-Country Output Convergence
This paper has been announced in the following NEP Reports :
References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.: Romer, Paul M, 1986.
"Increasing Returns and Long-run Growth ,"
Journal of Political Economy ,
University of Chicago Press, vol. 94(5), pages 1002-37, October.
[Downloadable!] (restricted)
Arellano, Manuel & Bond, Stephen, 1991.
"Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations ,"
Review of Economic Studies ,
Blackwell Publishing, vol. 58(2), pages 277-97, April.
[Downloadable!] (restricted)
Hansen, Lars Peter & Heaton, John & Yaron, Amir, 1996.
"Finite-Sample Properties of Some Alternative GMM Estimators ,"
Journal of Business & Economic Statistics ,
American Statistical Association, vol. 14(3), pages 262-80, July.
Hsaio, Cheng & Pesaran, M. Hashem & Tahmiscioglu, A. Kamil, 1998.
"Maximum Likelihood Estimation of Fixed Effects Dynamic Panel Data Models Covering Short Time Periods ,"
Cambridge Working Papers in Economics
9826, Faculty of Economics, University of Cambridge.
Other versions: Robert E. Hall & Charles I. Jones, 1999.
"Why Do Some Countries Produce So Much More Output per Worker than Others? ,"
NBER Working Papers
6564, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: Easterly, William & Loayza, Norman & Montiel, Peter, 1997.
"Has Latin America's post-reform growth been disappointing? ,"
Journal of International Economics ,
Elsevier, vol. 43(3-4), pages 287-311, November.
[Downloadable!] (restricted)
Other versions: Kristin J. Forbes, 2000.
"A Reassessment of the Relationship between Inequality and Growth ,"
American Economic Review ,
American Economic Association, vol. 90(4), pages 869-887, September.
[Downloadable!] (restricted)
Alonso-Borrego, Cesar & Arellano, Manuel, 1999.
"Symmetrically Normalized Instrumental-Variable Estimation Using Panel Data ,"
Journal of Business & Economic Statistics ,
American Statistical Association, vol. 17(1), pages 36-49, January.
Nelson, Charles R & Startz, Richard, 1990.
"The Distribution of the Instrumental Variables Estimator and Its t-Ratio When the Instrument Is a Poor One ,"
Journal of Business ,
University of Chicago Press, vol. 63(1), pages S125-40, January.
[Downloadable!] (restricted)
Other versions:
Charles R. Nelson & Richard Startz, 1988.
"The Distribution of the Instrumental Variables Estimator and Its t-RatioWhen the Instrument is a Poor One ,"
NBER Technical Working Papers
0069, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted) Nelson, C. & Startz, R., 1988.
"The Distribution Of The Instrumental Variables Estimator And Its T-Ratio When The Instrument Is A Poor One ,"
Working Papers
88-07, University of Washington, Department of Economics.
Nelson, C. & Startz, R., 1988.
"The Distribution Of The Instrumental Variables Estimator And Its T-Ratio When The Instrument Is A Poor One ,"
Discussion Papers in Economics at the University of Washington
88-07, Department of Economics at the University of Washington.
Douglas Staiger & James H. Stock, 1997.
"Instrumental Variables Regression with Weak Instruments ,"
Econometrica ,
Econometric Society, vol. 65(3), pages 557-586, May.
Other versions: Z, Griliches ; Jacques Mairesse, .
"Production Functions : The Search for Identification ,"
Working Papers
97-30, Centre de Recherche en Economie et Statistique.
[Downloadable!]
Other versions: Caselli, Francesco & Esquivel, Gerardo & Lefort, Fernando, 1996.
" Reopening the Convergence Debate: A New Look at Cross-Country Growth Empirics ,"
Journal of Economic Growth ,
Springer, vol. 1(3), pages 363-89, September.
Richard Blundell & Steve Bond, 1995.
"Initial conditions and moment restrictions in dynamic panel data models ,"
IFS Working Papers
W95/17, Institute for Fiscal Studies.
Other versions:
Blundell, R. & Bond, S., 1995.
"Initial Conditions and Moment Restrictions in Dynamic Panel Data Models ,"
Economics Papers
104, Economics Group, Nuffield College, University of Oxford.
R Blundell & Steven Bond, .
"Initial conditions and moment restrictions in dynamic panel data model ,"
Economics Papers
W14&104., Economics Group, Nuffield College, University of Oxford.
[Downloadable!] Blundell, Richard & Bond, Stephen, 1998.
"Initial conditions and moment restrictions in dynamic panel data models ,"
Journal of Econometrics ,
Elsevier, vol. 87(1), pages 115-143, August.
[Downloadable!] (restricted) Richard Blundell & Steve Bond & Frank Windmeijer, 2000.
"Estimation in dynamic panel data models: improving on the performance of the standard GMM estimator ,"
IFS Working Papers
W00/12, Institute for Fiscal Studies.
[Downloadable!]
Arellano, Manuel & Bover, Olympia, 1995.
"Another look at the instrumental variable estimation of error-components models ,"
Journal of Econometrics ,
Elsevier, vol. 68(1), pages 29-51, July.
[Downloadable!] (restricted)
Marc Nerlove, 1999.
"Likelihood Inference for Dynamic Panel Models ,"
Annales d'Economie et de Statistique ,
ADRES, issue 55-56, pages 16, Juillet-D.
[Downloadable!]
Benhabib, Jess & Spiegel, Mark, 1997.
"Cross-Country Growth Regressions ,"
Working Papers
97-20, C.V. Starr Center for Applied Economics, New York University.
[Downloadable!]
Holtz-Eakin, Douglas & Newey, Whitney & Rosen, Harvey S, 1988.
"Estimating Vector Autoregressions with Panel Data ,"
Econometrica ,
Econometric Society, vol. 56(6), pages 1371-95, November.
[Downloadable!] (restricted)
Guido W. Imbens & Richard H. Spady & Phillip Johnson, 1998.
"Information Theoretic Approaches to Inference in Moment Condition Models ,"
Econometrica ,
Econometric Society, vol. 66(2), pages 333-358, March.
Other versions:
Imbens, G.W. & Johnson, P. & Spady, R.H., 1995.
"Information Theoretic Approaches to Inference in Movement Condition Models ,"
Economics Papers
99, Economics Group, Nuffield College, University of Oxford.
Guido W Imbens, Phillip Johnson & Richard H Spady, .
"Information theoretic approaches to inference in moment condition model ,"
Economics Papers
W12., Economics Group, Nuffield College, University of Oxford.
[Downloadable!] Guido W. Imbens & Phillip Johnson & Richard H. Spady, 1995.
"Information Theoretic Approaches to Inference in Moment Condition Models ,"
NBER Technical Working Papers
0186, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted) Guido W. Imbens & Phillip Johnson & Richard H. Spady, 1995.
"Information Theoretic Approaches to Inference in Moment Condition Models ,"
Harvard Institute of Economic Research Working Papers
1736, Harvard - Institute of Economic Research.
Levine, Ross & Loayza, Norman & Beck, Thorsten, 2000.
"Financial intermediation and growth: Causality and causes ,"
Journal of Monetary Economics ,
Elsevier, vol. 46(1), pages 31-77, August.
[Downloadable!] (restricted)
Other versions: Peter Klenow & Andrés RodrÃguez-Clare, 1997.
"The Neoclassical Revival in Growth Economics: Has It Gone Too Far? ,"
NBER Chapters ,
in: NBER Macroeconomics Annual 1997, Volume 12, pages 73-114
National Bureau of Economic Research, Inc.
[Downloadable!]
Mankiw, N Gregory & Romer, David & Weil, David N, 1992.
"A Contribution to the Empirics of Economic Growth ,"
The Quarterly Journal of Economics ,
MIT Press, vol. 107(2), pages 407-37, May.
[Downloadable!] (restricted)
Other versions: Nickell, Stephen J, 1981.
"Biases in Dynamic Models with Fixed Effects ,"
Econometrica ,
Econometric Society, vol. 49(6), pages 1417-26, November.
[Downloadable!] (restricted)
Richard Blundell & Stephen Bond, 2000.
"GMM Estimation with persistent panel data: an application to production functions ,"
Econometric Reviews ,
Taylor and Francis Journals, vol. 19(3), pages 321-340.
[Downloadable!] (restricted)
Other versions: Kiviet, Jan F., 1995.
"On bias, inconsistency, and efficiency of various estimators in dynamic panel data models ,"
Journal of Econometrics ,
Elsevier, vol. 68(1), pages 53-78, July.
[Downloadable!] (restricted)
Lee, Kevin & Pesaran, M Hashem & Smith, Ron, 1997.
"Growth and Convergence in Multi-country Empirical Stochastic Solow Model ,"
Journal of Applied Econometrics ,
John Wiley & Sons, Ltd., vol. 12(4), pages 357-92, July-Aug..
[Downloadable!]
Ahn, Seung C. & Schmidt, Peter, 1995.
"Efficient estimation of models for dynamic panel data ,"
Journal of Econometrics ,
Elsevier, vol. 68(1), pages 5-27, July.
[Downloadable!] (restricted)
Benhabib, Jess & Spiegel, Mark M, 2000.
" The Role of Financial Development in Growth and Investment ,"
Journal of Economic Growth ,
Springer, vol. 5(4), pages 341-60, December.
[Downloadable!] (restricted)
Bhargava, Alok & Sargan, J D, 1983.
"Estimating Dynamic Random Effects Models from Panel Data Covering Short Time Periods ,"
Econometrica ,
Econometric Society, vol. 51(6), pages 1635-59, November.
[Downloadable!] (restricted)
Charles R. Nelson & Richard Startz, 1988.
"Some Further Results on the Exact Small Sample Properties of the Instrumental Variable Estimator ,"
NBER Technical Working Papers
0068, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions:
Nelson, C. & Startz, R., 1988.
"Some Furthere Results On The Exact Small Sample Properties Of The Instrumental Variable Estimator ,"
Working Papers
88-06, University of Washington, Department of Economics.
Nelson, C. & Startz, R., 1988.
"Some Furthere Results On The Exact Small Sample Properties Of The Instrumental Variable Estimator ,"
Discussion Papers in Economics at the University of Washington
88-06, Department of Economics at the University of Washington.
Nelson, Charles R & Startz, Richard, 1990.
"Some Further Results on the Exact Small Sample Properties of the Instrumental Variable Estimator ,"
Econometrica ,
Econometric Society, vol. 58(4), pages 967-76, July.
[Downloadable!] (restricted) Lucas, Robert Jr., 1988.
"On the mechanics of economic development ,"
Journal of Monetary Economics ,
Elsevier, vol. 22(1), pages 3-42, July.
[Downloadable!] (restricted)
Full
references Cited by : (explanations , Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.) This item has more than 25 citations. To prevent cluttering this page, these citations are listed on a separate page .
Access and
download statistics Did you know? All the bibliographic data shown here has been contributed by volunteers, thereby helping to keep this service free.
This page was last updated on 2009-11-1.
This information is provided to you by IDEAS at the Department of Economics , College of Liberal Arts and Sciences , University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics .