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dc.contributor.authorMehrhoff, Jensen_US
dc.date.accessioned2009-05-28en_US
dc.date.accessioned2010-05-14T11:58:41Z-
dc.date.available2010-05-14T11:58:41Z-
dc.date.issued2009en_US
dc.identifier.urihttp://hdl.handle.net/10419/32105-
dc.description.abstractThe 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.isoengen_US
dc.publisherUniv. Duisburg-Essen, Standort Essen, Fachbereich Wirtschaftswiss. Essenen_US
dc.relation.ispartofseriesDiskussionsbeiträge aus dem Fachbereich Wirtschaftswissenschaften der Universität Duisburg-Essen, Standort Essen 171en_US
dc.subject.jelC13en_US
dc.subject.jelC15en_US
dc.subject.jelC23en_US
dc.subject.jelC81en_US
dc.subject.ddc330en_US
dc.subject.keywordDynamic Panel Dataen_US
dc.subject.keywordGeneralised Method of Momentsen_US
dc.subject.keywordInstrument Proliferationen_US
dc.subject.keywordFactor Analysisen_US
dc.subject.stwPanelen_US
dc.subject.stwMomentenmethodeen_US
dc.subject.stwMonte-Carlo-Methodeen_US
dc.subject.stwFaktorenanalyseen_US
dc.subject.stwRobustes Verfahrenen_US
dc.subject.stwTheorieen_US
dc.titleA solution to the problem of too many instruments in dynamic panel data GMMen_US
dc.typeWorking Paperen_US
dc.identifier.ppn600698343en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:udewwd:171-
Appears in Collections:IBES Diskussionsbeiträge, Universität Duisburg-Essen

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