GMM-lev estimation and individual heterogeneity: Monte Carlo evidence and empirical applications
水平式 GMM 估计与个体异质性:蒙特卡洛证据及实证应用
We introduce a new estimator, CRE-GMM, which exploits the correlated random effects (CRE) approach within the generalised method of moments (GMM), specifically applied to level equations, GMM-lev. It has the advantage of estimating the effect of measurable time-invariant covariates using all available information. This is not possible with GMM-dif, applied to the equations of each period transformed into first differences, while GMM-sys uses little information as it adds the…