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Other ORP type . 2009 . Peer-reviewed
Full-Text: http://pareto.uab.es/wp/2009/78009.pdf
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Recolector de Ciencia Abierta, RECOLECTA
Research . 2009
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Recolector de Ciencia Abierta, RECOLECTA
Research . 2009
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Research . 2009
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Research Papers in Economics
Preprint . 2009
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Research Papers in Economics
Preprint . 2009
Full-Text: http://www.barcelonagse.eu/sites/default/files/working_paper_pdfs/395.pdf
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System GMM Estimation With A Small Sample

descriptionPublicationkeyboard_double_arrow_right Research , Other ORP type , Preprint 01 Jan 2009 Spain
Authors: Marcelo Soto;

handle: 10261/17702 , 2072/41978

System GMM Estimation With A Small Sample

Abstract

Properties of GMM estimators for panel data, which have become very popular in the empirical economic growth literature, are not well known when the number of individuals is small. This paper analyses through Monte Carlo simulations the properties of various GMM and other estimators when the number of individuals is the one typically available in country growth studies. It is found that, provided that some persistency is present in the series, the system GMM estimator has a lower bias and higher efficiency than all the other estimators analysed, including the standard first-differences GMM estimator.

The support from the Spanish Ministry of Science and Innovation under project ECO2008-04837/ECON is gratefully acknowledged. The author acknowledges the support of the Barcelona GSE Research Network and of the Government of Catalonia.

27 pages, 1 figure, 6 tables.-- JEL Classification Codes: C15, C33, O11.

Peer reviewed

Country
Spain
Keywords

Economic Growth, System GMM estimation, Monte Carlo Simulations, Desenvolupament econòmic, Economic Growth, Monte Carlo Simulations, System GMM estimation, economic growth, System GMM estimation, Monte Carlo Simulations, Economic growth, Econometria, jel: jel:O11, jel: jel:C33, jel: jel:C15

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selected citations
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This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
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popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
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influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
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