The weak instrument problem of the system GMM estimator in dynamic panel data models
证明在协方差平稳的面板数据AR(1)模型中，系统GMM估计量的水平方程也存在弱工具变量问题，导致两阶段最小二乘偏差和Wald检验的尺寸扭曲与差分方程类似。
The system GMM estimator for dynamic panel data models combines moment conditions for the model in first differences with moment conditions for the model in levels. It has been shown to improve on the GMM estimator in the first differenced model in terms of bias and root mean squared error. However, we show in this paper that in the covariance stationary panel data AR(1) model the expected values of the concentration parameters in the differenced and levels equations for the cross‐section at time t are the same when the variances of the individual heterogeneity and idiosyncratic errors are the same. This indicates a weak instrument problem also for the equation in levels. We show that the 2SLS biases relative to that of the OLS biases are then similar for the equations in differences and levels, as are the size distortions of the Wald tests. These results are shown to extend to the panel data GMM estimators.