Efficient Estimation with Panel Data When Instruments Are Predetermined: An Empirical Comparison of Moment-Condition Estimators

Bootstrap-based bias correction for dynamic panels

“…We note that the number of moment conditions for GMMd and GMMs grows rapidly as T increases. For large T panels this implies that the GMM estimators may suffer from an overfitting bias (see Ziliak, 1997). Therefore, stacked versions of GMMd and GMMs may be better alternatives (see Arellano, 2003, p.170).…”

“…Second, IV and GMM estimators require additional decisions on which instruments to use. For instance, when T is relatively large compared to N more moment conditions are available but the GMM estimators may have substantial small sample biases when too many of these conditions are used (see Ziliak, 1997;Bun and Kiviet, 2006).…”

ICT growth effects at the industry level: A comparison between the US and the EU

“…On the other hand when the number of moment conditions expands, this leads to a reduction in the size of the sample, bias in estimates and weak power of the diagnostic tests (Ziliak, 1997;Roodman, 2006). We follow a moderate solution by choosing two lags of the dependent and endogenous variables, as instruments in the system GMM regressions.…”

International integration and the determinants of regional development in China

“…In constructing our data set, we have used new income and investment data reported by Hsueh and Li (1999) Chow (2006) point out that Chinese official statistics are by and large reliable because of the assigned responsibility of the officials preparing them, of their being used in government decision making that is open to public scrutiny, and in many published articles in referred journals. Rawski (2001) argues that two decades of reform have produced impressive achievements in the realm of economic statistics the range, depth, and quality of statistical documentation 21 Monte Carlo results on the finite sample properties of the GMM estimator for dynamic panel data models have been reported by Arellano and Bond (1991), Kiviet (1995), Ziliak (1997), Blundell and Bond (1998) and Alonso-Borrego and Arellano (1999), amongst others. 22 The choice of the period makes sense for two reasons.…”