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The tests for the level moment conditions: GMM estimation in a linear dynamic panel data model

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  • Takuya Hasebe

    (Graduate Center, City University of New York)

Abstract

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 modification makes the test statistic nonnegative. Monte Carlo simulations show that the test can gain power from the modification.

Suggested Citation

  • Takuya Hasebe, 2012. "The tests for the level moment conditions: GMM estimation in a linear dynamic panel data model," Economics Bulletin, AccessEcon, vol. 32(1), pages 412-420.
    • Handle: RePEc:ebl:ecbull:eb-11-00706
    as

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    References listed on IDEAS

    as
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    More about this item

    Keywords

    GMM; Dynamic panel data; Overidentifying restrictions test;
    All these keywords.

    JEL classification:

    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General

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