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GMM Estimation with persistent panel data: an application to production functions

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Resource type
Journal Article
Authors/contributors
Title
GMM Estimation with persistent panel data: an application to production functions
Abstract
This paper considers the estimation of Cobb-Douglas production functions using panel data covering a large sample of companies observed for a small number of time periods. GMM estimatorshave been found to produce large finite-sample biases when using the standard first-differenced estimator. These biases can be dramatically reduced by exploiting reasonable stationarity restrictions on the initial conditions process. Using data for a panel of R&Dperforming US manufacturing companies we find that the additional instruments used in our extended GMM estimator yield much more reasonable parameter estimates.
Publication
Econometric Reviews
Volume
19
Issue
3
Pages
321-340
Date
2000-01-01
DOI
10.1080/07474930008800475
ISSN
0747-4938
URL
https://doi.org/10.1080/07474930008800475
Call Number
openalex: W3125937655
Extra
openalex: W3125937655 mag: 3125937655
Citation
Blundell, R., & Bond, S. (2000). GMM Estimation with persistent panel data: an application to production functions. Econometric Reviews, 19(3), 321–340. https://doi.org/10.1080/07474930008800475
Link to this record
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