Essay in GMM estimation of dynamic panel data models

Irene Mammi
The aimof thework is twofold. First,we investigate the properties of the dynamic panel data (DPD) GMMestimatorwhen the instrument count is high. We introduce the extraction of principal components fromthe instrument matrix as an effective strategy to reduce the number of instruments. Through Monte Carlo experiments, we want to compare the performances of the GMM estimators when the instrument set is factorized, collapsed or limited. Second, we estimate fiscal response functions on simulated panels and on...