The equivalence of two-step first difference and forward orthogonal deviations GMM
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- Phillips, Robert F., 2019. "A numerical equivalence result for generalized method of moments," Economics Letters, Elsevier, vol. 179(C), pages 13-15.
- Kazuhiko Hayakawa, 2009. "First Difference or Forward Orthogonal Deviation- Which Transformation Should be Used in Dynamic Panel Data Models?: A Simulation Study," Economics Bulletin, AccessEcon, vol. 29(3), pages 2008-2017.
- Arellano, Manuel, 2003. "Panel Data Econometrics," OUP Catalogue, Oxford University Press, number 9780199245291.
- Robert F. Phillips, 2020. "Quantifying the Advantages of Forward Orthogonal Deviations for Long Time Series," Computational Economics, Springer;Society for Computational Economics, vol. 55(2), pages 653-672, February.
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More about this item
Keywords
first-difference GMM; fixed effects; forward orthogonal demeaning; forward orthogonal deviations; system GMM;All these keywords.
JEL classification:
- C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
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