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dc.contributor.authorMehrhoff, Jensen
dc.date.accessioned2009-05-28-
dc.date.accessioned2010-05-14T11:58:41Z-
dc.date.available2010-05-14T11:58:41Z-
dc.date.issued2009-
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
dc.language.isoengen
dc.publisher|aUniversität Duisburg-Essen, Fachbereich Wirtschaftswissenschaften |cEssenen
dc.relation.ispartofseries|aDiskussionsbeitrag |x171en
dc.subject.jelC13en
dc.subject.jelC15en
dc.subject.jelC23en
dc.subject.jelC81en
dc.subject.ddc330en
dc.subject.keywordDynamic Panel Dataen
dc.subject.keywordGeneralised Method of Momentsen
dc.subject.keywordInstrument Proliferationen
dc.subject.keywordFactor Analysisen
dc.subject.stwPanelen
dc.subject.stwMomentenmethodeen
dc.subject.stwMonte-Carlo-Methodeen
dc.subject.stwFaktorenanalyseen
dc.subject.stwRobustes Verfahrenen
dc.subject.stwTheorieen
dc.titleA solution to the problem of too many instruments in dynamic panel data GMM-
dc.typeWorking Paperen
dc.identifier.ppn600698343en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:udewwd:171en

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