09-086/4 - The Weak Instrument Problem of the System GMM Estimator in Dynamic Panel Data Models

  • Authors
    Maurice J.G. Bun, University of Amsterdam; Frank Windmeijer, University of Bristol
  • Publication date
    October 9, 2009
  • Keywords
    Dynamic Panel Data, System GMM, Weak Instruments
  • JEL
    C12, C13, C23
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