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.
Keywords
EstimatorPanel dataEconometricsSample (material)EstimationProduction (economics)Yield (engineering)StatisticsEconomicsMathematicsMicroeconomics
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Publication Info
- Year
- 2000
- Type
- article
- Volume
- 19
- Issue
- 3
- Pages
- 321-340
- Citations
- 1523
- Access
- Closed
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Cite This
Richard Blundell,
Stephen Bond
(2000).
GMM Estimation with persistent panel data: an application to production functions.
Econometric Reviews
, 19
(3)
, 321-340.
https://doi.org/10.1080/07474930008800475
Identifiers
- DOI
- 10.1080/07474930008800475