Mohamed R. Abonazel
Associate Professor of Applied Statistics and Econometrics at Cairo University
5 Dr. Ahmed Zewail Street, Postal Code: 12613, Orman, Giza, Egypt (email)
Alternative GMM Estimators for First-order Autoregressive Panel Model: An Improving Efficiency Approach
- Citation:
- Youssef, A. H., and M. R. Abonazel, "Alternative GMM Estimators for First-order Autoregressive Panel Model: An Improving Efficiency Approach", Communications in Statistics - Simulation and Computation, vol. 46, issue 4, no. ja, pp. 3112-3128, 2017.
Abstract:
This paper considers first-order autoregressive panel model which is a
simple model for dynamic panel data (DPD) models. The generalized
method of moments (GMM) gives efficient estimators for these models.
This efficiency is affected by the choice of the weighting matrix which has
been used in GMM estimation. The non-optimal weighting matrices have
been used in the conventional GMM estimators. This led to a loss of
efficiency. Therefore, we present new GMM estimators based on optimal or
suboptimal weighting matrices. Monte Carlo study indicates that the bias
and efficiency of the new estimators are more reliable than the
conventional estimators.
Notes:
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