Mohamed Reda Sobhi Abonazel <br/><br/>
Some estimation methods for dynamic panel data models /  
 بعض طرق التقدير لنماذج بيانات السلسلة القطاعية الديناميكية 
Mohamed Reda Sobhi Abonazel ; Supervised Ahmed Hassen Youssef , Ahmed Amin El-sheikh 
 - Cairo :   Mohamed Reda Sobhi Abonazel ,   2014 
 - 123 P. ;   30cm 
<br/><br/>Thesis (Ph.D.) - Cairo University - Institute of Statistical Studies and Research - Department of Statistics and Econometrics 
<br/><br/> In dynamic panel models, the generalized method of moments (GMM)  has been used in many applications since it gives efficient estimators. This  efficiency is affected by the choice of the initial weight matrix. It is common  practice to use the inverse of the moment matrix of the instruments as an  initial weight matrix. However, an initial optimal weight matrix is not known,  especially in the system GMM estimation procedure. Therefore, we present  the optimal weight matrix for level GMM estimator, and suboptimal weight  matrices for system GMM estimator, and use these matrices to increase the  efficiency of GMM estimator. Using the Kantorovich inequality (KI), we find  that the potential efficiency gain becomes large when the variance of  individual effects increases compared to the variance of the errors  
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<br/><br/><label>Subjects--Index Terms: </label>Dynamic Panel data  Generalized method of moments  KI upper bound