Publication

This paper introduces the linear generalized method of moments (GMM). The Arellano-Bond and Arellano-Bover/Blundell-Bond GMM estimators are increasingly popular, which are both general estimators designed for situations with “small T, large N” panels, Then the paper shows how limited time span and the potential for fixed effects and endogenous regressors drive the design of the estimators of interest, offering Stata-based examples along the way. The author explains how to apply these estimators with xtabond2 and how to perform the Arellano-Bond test for autocorrelation in a panel after other Stata commands, using abar.