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Deutsche Bundesbank, Forschungszentrum, Frankfurt am Main >
Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/28620
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Mehrhoff, Jens | | en_US |
| dc.date.accessioned | | 2009-11-06 | | en_US |
| dc.date.accessioned | | 2009-12-02T16:02:42Z | | - |
| dc.date.available | | 2009-12-02T16:02:42Z | | - |
| dc.date.issued | | 2009 | | en_US |
| dc.identifier.isbn | | 978-3-86558-577-6 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/28620 | | - |
| dc.description.abstract | | 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 transformation for ensuring consistency of GMM. Monte Carlo simulations show that this new estimation technique outperforms other possible transformations by having a lower bias and RMSE as well as greater robustness of overidentifying restrictions. The researcher's choice of a particular transformation can be replaced by a data-driven statistical decision. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | Dt. Bundesbank Frankfurt, M. | | en_US |
| dc.relation.ispartofseries | | Discussion Paper Series 1: Economic Studies 2009,31 | | en_US |
| dc.subject.jel | | C13 | | en_US |
| dc.subject.jel | | C15 | | en_US |
| dc.subject.jel | | C23 | | en_US |
| dc.subject.jel | | C81 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | Dynamic panel data | | en_US |
| dc.subject.keyword | | generalised method of moments | | en_US |
| dc.subject.keyword | | instrument proliferation | | en_US |
| dc.subject.keyword | | factor analysis | | en_US |
| dc.subject.stw | | Panel | | en_US |
| dc.subject.stw | | Momentenmethode | | en_US |
| dc.subject.stw | | Faktorenanalyse | | en_US |
| dc.subject.stw | | Theorie | | en_US |
| dc.title | | A solution to the problem of too many instruments in dynamic panel data GMM | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 612354555 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | - |
| dc.identifier.repec | | RePEc:zbw:bubdp1:200931 | | - |
| Appears in Collections: | | Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank
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