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The equivalence of two-step first difference and forward orthogonal deviations GMM. (2020). Phillips, Robert.
In: Economics Bulletin.
RePEc:ebl:ecbull:eb-20-00800.

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  1. Arellano, M. (2003) Panel Data Econometrics, Oxford University Press: Oxford. Arellano, M., and O. Bover (1995) “Another look at the instrumental variable estimation of error-components models” Journal of Econometrics 68, 29–51.

  2. Blundell, R. and S. Bond (1998) “Initial conditions and moment restrictions in dynamic panel data models” Journal of Econometrics 87, 115–143.
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  3. Greene, W. H. (2012) Econometric Analysis, 7th ed., Prentice Hall: Upper Saddle River, NJ.
    Paper not yet in RePEc: Add citation now

  4. Hayakawa, K. (2009) “First difference or forward orthogonal deviation- which transformation should be used in dynamic panel data models?: A simulation study” Economics Bulletin 29, 2008–2017.

  5. Phillips, R. F. (2019) “A numerical equivalence result for generalized method of moments” Economics Letters 179, 13–15.

  6. Phillips, R. F. (2020) “Quantifying the advantages of forward orthogonal deviations for long time series” Computational Economics 55, 653–672.

  7. Schmidt, P., Ahn, S. C., and D. Wyhowski (1992) “Comment” Journal of Business & Economic Statistics 10, 10–14.
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