{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,24]],"date-time":"2026-10-24T02:26:03Z","timestamp":1792808763829,"version":"4.5.0"},"reference-count":28,"publisher":"Cambridge University Press (CUP)","issue":"5","license":[{"start":{"date-parts":[[2009,10,1]],"date-time":"2009-10-01T00:00:00Z","timestamp":1254355200000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[2009,10]]},"abstract":"<jats:p>\n                    In this paper we consider generalized method of moments\u2013based (GMM-based) estimation and inference for the panel AR(1) model when the data are persistent and the time dimension of the panel is fixed. We find that the nature of the weak instruments problem of the Arellano\u2013Bond (Arellano and Bond, 1991,\n                    <jats:italic>Review of Economic Studies<\/jats:italic>\n                    58, 277\u2013297) estimator depends on the distributional properties of the initial observations. Subsequently, we derive local asymptotic approximations to the finite-sample distributions of the Arellano\u2013Bond estimator and the System estimator, respectively, under a variety of distributional assumptions about the initial observations and discuss the implications of the results we obtain for doing inference. We also propose two Lagrange multiplier\u2013type (LM-type) panel unit root tests.\n                  <\/jats:p>","DOI":"10.1017\/s0266466608090531","type":"journal-article","created":{"date-parts":[[2009,9,3]],"date-time":"2009-09-03T06:25:18Z","timestamp":1251959118000},"page":"1348-1391","source":"Crossref","is-referenced-by-count":42,"title":["GMM ESTIMATION AND INFERENCE IN DYNAMIC PANEL DATA MODELS WITH PERSISTENT DATA"],"prefix":"10.1017","volume":"25","author":[{"given":"Hugo","family":"Kruiniger","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"56","published-online":{"date-parts":[[2009,10,1]]},"reference":[{"key":"S0266466608090531_ref27","doi-asserted-by":"publisher","DOI":"10.1198\/073500102288618658"},{"key":"S0266466608090531_ref26","doi-asserted-by":"publisher","DOI":"10.2307\/2171753"},{"key":"S0266466608090531_ref25","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00070"},{"key":"S0266466608090531_ref22","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466606060439"},{"key":"S0266466608090531_ref20","doi-asserted-by":"publisher","DOI":"10.1080\/01621459.1965.10480783"},{"key":"S0266466608090531_ref19","unstructured":"Madsen E . (2003) Using GMM when Testing for a Unit Root in Panels Where the Time-Dimension is Fixed. CAM Working paper 2003-11, University of Copenhagen."},{"key":"S0266466608090531_ref18","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2008.03.001"},{"key":"S0266466608090531_ref13","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(98)00076-1"},{"key":"S0266466608090531_ref11","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0262.2006.00652.x"},{"key":"S0266466608090531_ref23","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466608080262"},{"key":"S0266466608090531_ref10","doi-asserted-by":"crossref","unstructured":"Hahn J. , Hausman J. , & Kuersteiner G. (2001) Bias Corrected Instrumental Variables Estimation for Dynamic Panel Models with Fixed Effects. Working paper, M.I.T.","DOI":"10.2139\/ssrn.276592"},{"key":"S0266466608090531_ref8","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/24.3-4.428"},{"key":"S0266466608090531_ref5","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(98)00009-8"},{"key":"S0266466608090531_ref3","doi-asserted-by":"publisher","DOI":"10.2307\/2297968"},{"key":"S0266466608090531_ref2","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(95)01793-3"},{"key":"S0266466608090531_ref1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(94)01641-C"},{"key":"S0266466608090531_ref16","doi-asserted-by":"crossref","unstructured":"Kruiniger H . (2003) On the Estimation of Panel Regression Models with Fixed Effects. Revised version of Working paper 450, Queen Mary, University of London.","DOI":"10.2139\/ssrn.299136"},{"key":"S0266466608090531_ref4","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(94)01642-D"},{"key":"S0266466608090531_ref6","doi-asserted-by":"crossref","unstructured":"Bond S.R. , Nauges C. , & Windmeijer F. (2005) Unit Roots: Identification and Testing in Micro Panels. CEMMAP Working paper 07\/05, Institute for Fiscal Studies, London.","DOI":"10.2139\/ssrn.757316"},{"key":"S0266466608090531_ref24","unstructured":"Phillips P.C.B. & Magdalinos T. (2008) Unit Root and Cointegrating Limit Theory when Initialization is in the Infinite Past. Cowles Foundation Discussion paper 1655, Yale University."},{"key":"S0266466608090531_ref15","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(01)00143-9"},{"key":"S0266466608090531_ref14","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466606060415"},{"key":"S0266466608090531_ref17","unstructured":"Kruiniger H . (2008a) GMM Estimation and Inference in Dynamic Panel Data Models with Persistent Data. Revised version of Working paper 428, Queen Mary, University of London. Available at http:\/\/webspace.qmul.ac.uk\/hkruiniger\/."},{"key":"S0266466608090531_ref12","unstructured":"Han C. & Phillips P.C.B. (2007) GMM Estimation for Dynamic Panels with Fixed Effects and Strong Instruments at Unity. Cowles Foundation Discussion paper 1599, Yale University."},{"key":"S0266466608090531_ref28","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00247"},{"key":"S0266466608090531_ref7","doi-asserted-by":"publisher","DOI":"10.1080\/00036849400000081"},{"key":"S0266466608090531_ref9","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466606060427"},{"key":"S0266466608090531_ref21","doi-asserted-by":"publisher","DOI":"10.1017\/S026646660016606X"}],"container-title":["Econometric Theory"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S0266466608090531","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2019,5,22]],"date-time":"2019-05-22T06:36:13Z","timestamp":1558506973000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S0266466608090531\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2009,10]]},"references-count":28,"journal-issue":{"issue":"5","published-print":{"date-parts":[[2009,10]]}},"alternative-id":["S0266466608090531"],"URL":"https:\/\/doi.org\/10.1017\/s0266466608090531","relation":{},"ISSN":["0266-4666","1469-4360"],"issn-type":[{"value":"0266-4666","type":"print"},{"value":"1469-4360","type":"electronic"}],"subject":[],"published":{"date-parts":[[2009,10]]}}}