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GMM Estimation of Empirical Growth Models.

Abstract:

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 ex...

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Authors


Stephen R. Bond More by this author
Anke Hoeffler More by this author
Jonathan Temple More by this author
Volume:
3048
Series:
CEPR Discussion Paper Series
Publication date:
2001-11-05
URN:
uuid:924e6dcd-e9c2-4c05-809e-57cc6ab8dc76
Local pid:
oai:economics.ouls.ox.ac.uk:14463
Language:
English

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