학술연구보고서
Role of Constant Instruments in Dynamic Panel Estimation
- 고려대학교 미래성장연구원
- 미래성장연구소 Working Paper
- 2014 Working Paper
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2014.011 - 11 (11 pages)
- 6
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In standard generalized method of moments estimation of dynamic panel data models, the constant term is usually omitted from instrument sets. As a result, the estimate is affected by the translation of the dependent variable by a universal constant for models with no full period dummies. Omitting the constant term from instrument sets may also result in substantial bias and efficiency loss if the mean of the variable is large in magnitude. In this note, we provide analytical and numerical results and propose convenient solutions for practitioners.
Abstract
1 Introduction
2 Role of constant instruments in difference GMM
3 Concluding remarks
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