Publikation: GMM Estimation of empirical growth models
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2001
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CEPR Discussion Papers / Centre for Economic Policy Research Discussion Papers, 3048. ISSN 0265-8003
Zusammenfassung
This Paper highlights a problem in using the first-differenced GMM panel data estimator to estimate cross-country growth regressions. When the time series are persistent, the first-differenced GMM estimator can be poorly behaved, since lagged levels of the series provide only weak instruments for subsequent first-differences. Revisiting the work of Caselli, Esquivel and Lefort (1996), we show that this problem may be serious in practice. We suggest using a more efficient GMM estimator that exploits stationarity restrictions and this approach is shown to give more reasonable results than first-differenced GMM in our estimation of an empirical growth model.
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convergence, generalized method of moments, growth, weak instruments
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HOEFFLER, Anke, Stephen Roy BOND, Jonathan R.W. TEMPLE, 2001. GMM Estimation of empirical growth models. In: CEPR Discussion Papers / Centre for Economic Policy Research Discussion Papers, 3048. ISSN 0265-8003BibTex
@article{Hoeffler2001Estim-46212, year={2001}, title={GMM Estimation of empirical growth models}, issn={0265-8003}, journal={CEPR Discussion Papers / Centre for Economic Policy Research Discussion Papers}, author={Hoeffler, Anke and Bond, Stephen Roy and Temple, Jonathan R.W.}, note={Article Number: 3048} }
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