Re: st: GMM diff vs sys

["Vasilis.Sarafidis" <vs242@cam.ac.uk>]

Hi,

There is a recent paper by Bun and Kiviet "The Effects of Dynamic Feedbacks 
on LS and MM Estimator Accuracy in Panel Data Models", forthcoming in 
Journal of Econometrics. This one explains that there are cases where the 
difference GMM can do better than the system GMM.

However, with only 20 countries it is very unlikely to get sensible results 
regardless of the GMM estimator you use. This is because the virtue of 
using GMM is in large samples. You may be better off by using the xtlsdvc 
command which refers to Kiviets bias corrected estimator.

Best

Vasilis


On Feb 7 2006, irodriguez@utdt.edu wrote:


> Dears,
> I have a panel dataset for a sample of 20 countries over 8 periods I`ve
> use GMM method to estimate a model of convergence like this
> yit=b yit-1 + q xit + uit
> where xit are exogenous variables
> I could be posible that difference GMM work better than sysyem GMM?
> Thanks
>
>
>
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