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