{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,9,8]],"date-time":"2026-09-08T12:29:33Z","timestamp":1788870573595,"version":"build-2803163510"},"reference-count":52,"publisher":"Cambridge University Press (CUP)","issue":"3","license":[{"start":{"date-parts":[[2014,9,15]],"date-time":"2014-09-15T00:00:00Z","timestamp":1410739200000},"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":[[2015,6]]},"abstract":"<jats:p>\n                    In this paper, we derive the asymptotic properties of the system generalized method of moments (GMM) estimator in dynamic panel data models with individual and time effects when both\n                    <jats:italic>N<\/jats:italic>\n                    and\n                    <jats:italic>T<\/jats:italic>\n                    , the dimensions of cross-section and time series, are large. Specifically, we show that the two-step system GMM estimator is consistent when a suboptimal weighting matrix where off-diagonal blocks are set to zero is used. Such consistency results theoretically support the use of the system GMM estimator in large\n                    <jats:italic>N<\/jats:italic>\n                    and\n                    <jats:italic>T<\/jats:italic>\n                    contexts even though it was originally developed for large\n                    <jats:italic>N<\/jats:italic>\n                    and small\n                    <jats:italic>T<\/jats:italic>\n                    panels. Simulation results indicate that the large\n                    <jats:italic>N<\/jats:italic>\n                    and large\n                    <jats:italic>T<\/jats:italic>\n                    asymptotic results approximate the finite sample behavior reasonably well unless persistency of data is strong and\/or the variance ratio of individual effects to the disturbances is large.\n                  <\/jats:p>","DOI":"10.1017\/s0266466614000449","type":"journal-article","created":{"date-parts":[[2014,9,15]],"date-time":"2014-09-15T10:08:36Z","timestamp":1410775716000},"page":"647-667","source":"Crossref","is-referenced-by-count":55,"title":["THE ASYMPTOTIC PROPERTIES OF THE SYSTEM GMM ESTIMATOR IN DYNAMIC PANEL DATA MODELS WHEN BOTH\n                    <i>N<\/i>\n                    AND\n                    <i>T<\/i>\n                    ARE LARGE"],"prefix":"10.1017","volume":"31","author":[{"given":"Kazuhiko","family":"Hayakawa","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"56","published-online":{"date-parts":[[2014,9,15]]},"reference":[{"key":"S0266466614000449_ref4","doi-asserted-by":"crossref","first-page":"1121","DOI":"10.1111\/1468-0262.00441","article-title":"The time series and cross-section asymptotics of dynamic panel data estimators","volume":"71","author":"Alvarez","year":"2003","journal-title":"Econometrica"},{"key":"S0266466614000449_ref17","doi-asserted-by":"crossref","first-page":"95","DOI":"10.1111\/j.1368-423X.2009.00299.x","article-title":"The weak instrument problem of the system GMM estimator in dynamic panel data models","volume":"13","author":"Bun","year":"2010","journal-title":"Econometrics Journal"},{"key":"S0266466614000449_ref13","unstructured":"Bond, S. , Hoeffler, A. , & Temple, J. (2001) GMM Estimation of Empirical Growth Models. Working paper no. 2001-W21, University of Oxford, Nuffield College, Economics Group."},{"key":"S0266466614000449_ref18","doi-asserted-by":"crossref","first-page":"195","DOI":"10.1023\/A:1020139631000","article-title":"Growth is good for the poor","volume":"7","author":"Dollar","year":"2002","journal-title":"Journal of Economic Growth"},{"key":"S0266466614000449_ref51","doi-asserted-by":"crossref","first-page":"213","DOI":"10.1016\/0167-7152(83)90033-0","article-title":"A note on spectral decomposition and maximum likelihood estimation in models with balanced data","volume":"1","author":"Wansbeek","year":"1983","journal-title":"Statistics and Probability Letters"},{"key":"S0266466614000449_ref5","doi-asserted-by":"crossref","DOI":"10.1093\/0199245282.001.0001","volume-title":"Panel Data Econometrics","author":"Arellano","year":"2003"},{"key":"S0266466614000449_ref25","doi-asserted-by":"crossref","first-page":"201","DOI":"10.1017\/S0266466613000170","article-title":"X-differencing and dynamic panel model estimation","volume":"30","author":"Han","year":"2014","journal-title":"Econometric Theory"},{"key":"S0266466614000449_ref45","doi-asserted-by":"crossref","first-page":"62","DOI":"10.1111\/j.1368-423X.2008.00260.x","article-title":"On the impact of error cross-sectional dependence in short dynamic panel estimation","volume":"12","author":"Sarafidis","year":"2009","journal-title":"Econometrics Journal"},{"key":"S0266466614000449_ref9","doi-asserted-by":"crossref","first-page":"657","DOI":"10.2307\/2951662","article-title":"Alternative approximations to the distributions of instrumental variable estimators","volume":"62","author":"Bekker","year":"1994","journal-title":"Econometrica"},{"key":"S0266466614000449_ref27","doi-asserted-by":"crossref","first-page":"133","DOI":"10.1016\/j.jeconom.2009.04.008","article-title":"On the effect of mean-nonstationarity in dynamic panel data models","volume":"153","author":"Hayakawa","year":"2009a","journal-title":"Journal of Econometrics"},{"key":"S0266466614000449_ref39","doi-asserted-by":"crossref","first-page":"821","DOI":"10.2307\/1912160","article-title":"Approximate distributions of k-class estimators when the degree of overidentifiability is large compared with the sample size","volume":"51","author":"Morimune","year":"1983","journal-title":"Econometrica"},{"key":"S0266466614000449_ref47","doi-asserted-by":"crossref","first-page":"149","DOI":"10.1016\/j.jeconom.2008.10.006","article-title":"A test of cross section dependence for a linear dynamic panel model with regressors","volume":"148","author":"Sarafidis","year":"2009","journal-title":"Journal of Econometrics"},{"key":"S0266466614000449_ref7","doi-asserted-by":"crossref","first-page":"29","DOI":"10.1016\/0304-4076(94)01642-D","article-title":"Another look at the instrumental variable estimation of error-components models","volume":"68","author":"Arellano","year":"1995","journal-title":"Journal of Econometrics"},{"key":"S0266466614000449_ref44","unstructured":"Robertson, D. , Sarafidis, V. , & Symons, J. (2010) IV Estimation of Panels with Factor Residuals. Mimeo."},{"key":"S0266466614000449_ref50","doi-asserted-by":"crossref","first-page":"2105","DOI":"10.1080\/03610928208828373","article-title":"A simple way to obtain the spectral decomposition of variance components models for balanced data","volume":"11","author":"Wansbeek","year":"1982","journal-title":"Communications in Statistics"},{"key":"S0266466614000449_ref26","doi-asserted-by":"crossref","first-page":"32","DOI":"10.1016\/j.econlet.2006.09.011","article-title":"Small sample bias properties of the system GMM estimator in dynamic panel data models","volume":"95","author":"Hayakawa","year":"2007","journal-title":"Economics Letters"},{"key":"S0266466614000449_ref30","doi-asserted-by":"crossref","first-page":"109","DOI":"10.14490\/jjss.42.109","article-title":"GMM estimation of a short dynamic panel data model with interactive fixed effects","volume":"42","author":"Hayakawa","year":"2012","journal-title":"Journal of the Japan Statistical Society"},{"key":"S0266466614000449_ref34","doi-asserted-by":"crossref","first-page":"107","DOI":"10.1016\/S0304-4076(01)00143-9","article-title":"Maximum likelihood estimation of fixed effects dynamic panel data models covering short time periods","volume":"109","author":"Hsiao","year":"2002","journal-title":"Journal of Econometrics"},{"key":"S0266466614000449_ref32","doi-asserted-by":"crossref","unstructured":"Hayakawa, K. & Pesaran, M.H. (2012) Robust Standard Errors in Transformed Likelihood Estimation of Dynamic Panel Data Models. Cambridge Working Papers in Economics No. 1224.","DOI":"10.2139\/ssrn.2047069"},{"key":"S0266466614000449_ref16","doi-asserted-by":"crossref","first-page":"409","DOI":"10.1016\/j.jeconom.2005.02.006","article-title":"The effects of dynamic feedbacks on LS and MM estimator accuracy in panel data models","volume":"132","author":"Bun","year":"2006","journal-title":"Journal of Econometrics"},{"key":"S0266466614000449_ref28","doi-asserted-by":"crossref","first-page":"873","DOI":"10.1017\/S0266466609090707","article-title":"A simple efficient instrumental variable estimator in panel AR(p) models when both N and T are large","volume":"25","author":"Hayakawa","year":"2009b","journal-title":"Econometric Theory"},{"key":"S0266466614000449_ref52","doi-asserted-by":"crossref","first-page":"118","DOI":"10.1016\/j.jeconom.2008.08.002","article-title":"Quasi-maximum likelihood estimators for spatial dynamic panel data with fixed effects when both n and T are large","volume":"146","author":"Yu","year":"2008","journal-title":"Journal of Econometrics"},{"key":"S0266466614000449_ref10","doi-asserted-by":"crossref","first-page":"1635","DOI":"10.2307\/1912110","article-title":"Estimating dynamic random effects models from panel data covering short time periods","volume":"51","author":"Bhargava","year":"1983","journal-title":"Econometrica"},{"key":"S0266466614000449_ref42","doi-asserted-by":"crossref","first-page":"217","DOI":"10.1111\/1368-423X.00108","article-title":"Dynamic panel estimation and homogeneity testing under cross section dependence","volume":"6","author":"Phillips","year":"2003","journal-title":"Econometrics Journal"},{"key":"S0266466614000449_ref31","doi-asserted-by":"crossref","unstructured":"Hayakawa, K. & Nagata, S. (2013) On the Behavior of the GMM Estimator in Persistent Dynamic Panel Data Models with Unrestricted Initial Conditions. Mimeo.","DOI":"10.2139\/ssrn.2009015"},{"key":"S0266466614000449_ref12","doi-asserted-by":"crossref","first-page":"321","DOI":"10.1080\/07474930008800475","article-title":"GMM estimation with persistent panel data: An application to production functions","volume":"19","author":"Blundell","year":"2000","journal-title":"Econometric Reviews"},{"key":"S0266466614000449_ref6","doi-asserted-by":"crossref","first-page":"277","DOI":"10.2307\/2297968","article-title":"Some tests of specification for panel data: Monte Carlo evidence and an application to employment equations","volume":"58","author":"Arellano","year":"1991","journal-title":"Review of Economic Studies"},{"key":"S0266466614000449_ref37","doi-asserted-by":"crossref","first-page":"693","DOI":"10.1080\/01621459.1980.10477535","article-title":"Asymptotic expansions of distributions of estimators in a linear functional relationship and simultaneous equations","volume":"75","author":"Kunitomo","year":"1980","journal-title":"Journal of the American Statistical Association"},{"key":"S0266466614000449_ref22","doi-asserted-by":"crossref","first-page":"1639","DOI":"10.1111\/1468-0262.00344","article-title":"Asymptotically unbiased inference for a dynamic panel model with fixed effects when both n and T are large","volume":"70","author":"Hahn","year":"2002","journal-title":"Econometrica"},{"key":"S0266466614000449_ref14","doi-asserted-by":"crossref","first-page":"1","DOI":"10.1081\/ETC-200049126","article-title":"Reliable inference for GMM estimators? Finite sample properties of alternative test procedures in linear panel data models","volume":"24","author":"Bond","year":"2005","journal-title":"Econometric Reviews"},{"key":"S0266466614000449_ref21","doi-asserted-by":"crossref","first-page":"574","DOI":"10.1016\/j.jeconom.2006.07.005","article-title":"Long difference instrumental variables estimation for dynamic panel models with fixed effects","volume":"127","author":"Hahn","year":"2007","journal-title":"Journal of Econometrics"},{"key":"S0266466614000449_ref49","unstructured":"Su, L. & Yang, Z. (2007) QML Estimation of Dynamic Panel Data Models with Spatial Errors. Mimeo."},{"key":"S0266466614000449_ref36","doi-asserted-by":"crossref","first-page":"1348","DOI":"10.1017\/S0266466608090531","article-title":"GMM estimation and inference in dynamic panel data models with persistent data","volume":"25","author":"Kruiniger","year":"2009","journal-title":"Econometric Theory"},{"key":"S0266466614000449_ref20","doi-asserted-by":"crossref","first-page":"272","DOI":"10.1016\/j.regsciurbeco.2010.03.003","article-title":"Dynamic panels with endogenous interaction effects when T is small","volume":"40","author":"Elhorst","year":"2010","journal-title":"Regional Science and Urban Economics"},{"key":"S0266466614000449_ref48","doi-asserted-by":"crossref","first-page":"252","DOI":"10.1016\/j.econlet.2007.06.036","article-title":"GMM with more moment conditions than observations","volume":"99","author":"Satchachai","year":"2008","journal-title":"Economics Letters"},{"key":"S0266466614000449_ref43","doi-asserted-by":"crossref","first-page":"162","DOI":"10.1016\/j.jeconom.2006.03.009","article-title":"Bias in dynamic panel estimation with fixed effects, incidental trends and cross section dependence","volume":"127","author":"Phillips","year":"2007","journal-title":"Journal of Econometrics"},{"key":"S0266466614000449_ref38","unstructured":"Moon, H.R. & Weidner, M. (2010) Dynamic Linear Panel Regression Models with Interactive Fixed Effects. Mimeo."},{"key":"S0266466614000449_ref15","doi-asserted-by":"crossref","first-page":"89","DOI":"10.1016\/S0304-4076(98)00050-5","article-title":"Redundancy of moment conditions","volume":"91","author":"Breusch","year":"1999","journal-title":"Journal of Econometrics"},{"key":"S0266466614000449_ref46","unstructured":"Sarafidis, V. & Yamagata, T. (2010) Instrumental Variable Estimation of Dynamic Linear Panel Data Models with Defactored Regressors under Cross- Section Dependence. Mimeo."},{"key":"S0266466614000449_ref11","doi-asserted-by":"crossref","first-page":"115","DOI":"10.1016\/S0304-4076(98)00009-8","article-title":"Initial conditions and moment restrictions in dynamic panel data models","volume":"87","author":"Blundell","year":"1998","journal-title":"Journal of Econometrics"},{"key":"S0266466614000449_ref19","doi-asserted-by":"crossref","first-page":"85","DOI":"10.1111\/j.1538-4632.2005.00577.x","article-title":"Unconditional maximum likelihood estimation of linear and log-linear dynamic models for spatial panels","volume":"37","author":"Elhorst","year":"2004","journal-title":"Geographical Analysis"},{"key":"S0266466614000449_ref33","doi-asserted-by":"crossref","first-page":"1371","DOI":"10.2307\/1913103","article-title":"Estimating vector autoregressions with panel data","volume":"56","author":"Holtz-Eakin","year":"1988","journal-title":"Econometrica"},{"key":"S0266466614000449_ref29","doi-asserted-by":"crossref","first-page":"202","DOI":"10.1016\/j.jeconom.2010.06.002","article-title":"The effects of dynamic feedbacks on LS and MM estimator accuracy in panel data models: Some additional results","volume":"159","author":"Hayakawa","year":"2010","journal-title":"Journal of Econometrics"},{"key":"S0266466614000449_ref1","doi-asserted-by":"crossref","first-page":"5","DOI":"10.1016\/0304-4076(94)01641-C","article-title":"Efficient estimation of models for dynamic panel data","volume":"68","author":"Ahn","year":"1995","journal-title":"Journal of Econometrics"},{"key":"S0266466614000449_ref41","doi-asserted-by":"crossref","first-page":"1057","DOI":"10.1111\/1468-0262.00070","article-title":"Linear regression limit theory for nonstationary panel data","volume":"67","author":"Phillips","year":"1999","journal-title":"Econometrica"},{"key":"S0266466614000449_ref8","doi-asserted-by":"crossref","first-page":"261","DOI":"10.1016\/S0304-405X(00)00072-6","article-title":"Finance and the sources of growth","volume":"58","author":"Beck","year":"2000","journal-title":"Journal of Financial Economics"},{"key":"S0266466614000449_ref23","doi-asserted-by":"crossref","first-page":"499","DOI":"10.1017\/S0266466606060245","article-title":"Reducing bias of MLE in a dynamic panel model","volume":"22","author":"Hahn","year":"2006","journal-title":"Econometric Theory"},{"key":"S0266466614000449_ref40","doi-asserted-by":"crossref","first-page":"1417","DOI":"10.2307\/1911408","article-title":"Biases in dynamic models with fixed effects","volume":"49","author":"Nickell","year":"1981","journal-title":"Econometrica"},{"key":"S0266466614000449_ref24","doi-asserted-by":"crossref","first-page":"119","DOI":"10.1017\/S026646660909063X","article-title":"GMM estimation for dynamic panels with fixed effects and strong instruments at unity","volume":"26","author":"Han","year":"2010","journal-title":"Econometric Theory"},{"key":"S0266466614000449_ref35","doi-asserted-by":"crossref","first-page":"2698","DOI":"10.1016\/j.jspi.2008.03.009","article-title":"Estimation of dynamic panel data models with both individual and time specific effects","volume":"138","author":"Hsiao","year":"2008","journal-title":"Journal of Statistical Planning and Inference"},{"key":"S0266466614000449_ref3","doi-asserted-by":"crossref","first-page":"36","DOI":"10.1080\/07350015.1999.10524795","article-title":"Symmetrically normalized instrumental-variable estimation using panel data","volume":"17","author":"Alonso-Borrego","year":"1999","journal-title":"Journal of Business and Economic Statistics"},{"key":"S0266466614000449_ref2","doi-asserted-by":"crossref","first-page":"309","DOI":"10.1016\/0304-4076(95)01793-3","article-title":"Efficient estimation of dynamic panel data models: Alternative assumptions and simplified estimation","volume":"76","author":"Ahn","year":"1997","journal-title":"Journal of Econometrics"}],"container-title":["Econometric Theory"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S0266466614000449","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,6,2]],"date-time":"2024-06-02T10:00:51Z","timestamp":1717322451000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S0266466614000449\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2014,9,15]]},"references-count":52,"journal-issue":{"issue":"3","published-print":{"date-parts":[[2015,6]]}},"alternative-id":["S0266466614000449"],"URL":"https:\/\/doi.org\/10.1017\/s0266466614000449","relation":{},"ISSN":["0266-4666","1469-4360"],"issn-type":[{"value":"0266-4666","type":"print"},{"value":"1469-4360","type":"electronic"}],"subject":[],"published":{"date-parts":[[2014,9,15]]}}}