Spatial Dynamic Panel Model and System GMM: A Monte Carlo Investigation
作者： Madina Kukenova , Jose-Antonio Monteiro
DOI: 10.2139/SSRN.1300871
关键词:
摘要: Since there is so far no estimator that allows to estimate a dynamic panel model includes spatial lag as well other potential endogenous variables. This paper wants determine if it suitable instrument the variable (which by de�finition endogenous/simultaneous) using instruments proposed system GMM, i.e. lagged values. The Monte Carlo investigation highlights possibility extended GMM Arellano and Bover (1995) Blundell (1998), especially when N T are large.
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