Accuracy and Efficiency of Various GMM Inference Techniques in Dynamic Micro Panel Data Models

Econometrics

Jan Kiviet¹  Rutger Poldermans¹  Milan Pleus² 

[1] Amsterdam School of Economics, University of Amsterdam, P.O. Box 15867, 1001 NJ Amsterdam,The Netherlands;IKZ, Newtonlaan 1-41, 3584 BX Utrecht, The Netherlands;

关键词: cross-sectional heteroskedasticity;    model specification strategy;    Sargan-Hansen (incremental) tests;    variants of t-tests;    weighting matrices;    Windmeijer-correction;   

DOI  :  10.3390/econometrics5010014

来源: DOAJ

【 摘 要 】

Studies employing Arellano-Bond and Blundell-Bond generalized method of moments (GMM) estimation for linear dynamic panel data models are growing exponentially in number. However, for researchers it is hard to make a reasoned choice between many different possible implementations of these estimators and associated tests. By simulation, the effects are examined in terms of many options regarding: (i) reducing, extending or modifying the set of instruments; (ii) specifying the weighting matrix in relation to the type of heteroskedasticity; (iii) using (robustified) 1-step or (corrected) 2-step variance estimators; (iv) employing 1-step or 2-step residuals in Sargan-Hansen overall or incremental overidentification restrictions tests. This is all done for models in which some regressors may be either strictly exogenous, predetermined or endogenous. Surprisingly, particular asymptotically optimal and relatively robust weighting matrices are found to be superior in finite samples to ostensibly more appropriate versions. Most of the variants of tests for overidentification and coefficient restrictions show serious deficiencies. The variance of the individual effects is shown to be a major determinant of the poor quality of most asymptotic approximations; therefore, the accurate estimation of this nuisance parameter is investigated. A modification of GMM is found to have some potential when the cross-sectional heteroskedasticity is pronounced and the time-series dimension of the sample is not too small. Finally, all techniques are employed to actual data and lead to insights which differ considerably from those published earlier.

【 授权许可】

Unknown