Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/90838 
Year of Publication: 
1998
Series/Report no.: 
IFS Working Papers No. W98/01
Publisher: 
Institute for Fiscal Studies (IFS), London
Abstract: 
The system GMM estimator in dynamic panel data models combines moment conditions for hte differenced equation with moment conditions for the model in levels. An initial optimal weight matrix under homoscedasticity and non-serial correlation is not known for this estimation procedure. It is common practice to use the inverse of the moment matrix of the instruments as the initial weight matrix. This paper assesses the potential efficiency loss from the use of this weight matrix using the efficiency bounds as derived by Liu and Neudecker (1997).
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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