Hi-Stat img
□ ENGLISH
□ HOME
□ プロジェクト概要
組織図

概念図

スタッフ
□ 研究成果
ディスカッションペーパー

データベース
□ お知らせ
公募情報

研究会日程

過去の研究会と報告資料

レクチャーシリーズ

過去のレクチャーと報告資料

ニュースレター
□ リンク
一橋大学

一橋大学附属図書館

一橋大学経済研究所

社会科学統計情報研究センター

アジア長期経済統計プロジェクト

Global Economic History Network

政府統計ミクロデータの試行的提供

Small Sample Bias Properties of the System GMM Estimator in Dynamic Panel Data Models


Kazuhiko Hayakawa


April, 2005


Previous paper Next paper
Abstract
This paper examines analytically and experimentally why the system GMM estimator in dynamic panel data models is less biased than the first differencing or the level estimators even though the former uses more instruments. We find that the bias of the system GMM estimator is a weighted sum of the biases in opposite directions of the first differencing and the level estimator. We also find that an important condition for the system GMM estimator to have small bias is that the variances of the individual effects and the disturbances are almost of the same magnitude. If the variance of individual effects is much larger than that of disturbances, then all GMM estimators are heavily biased. To reduce such biases, we propose bias-corrected GMM estimators. On the other hand, if the variance of individual effects is smaller than that of disturbances, the system estimator has a more severe downward bias than the level estimator.
Download (228KB)
Copyright (C) 2003-2007 by Institute of Economic Research.All rights reserved.