In this paper, we derive the asymptotic properties of the system generalized method of moments (GMM) estimator in dynamic panel data models with individual and time effects when both N and T, the ...

The Econometrics Journal, Vol. 16, No. 1, EC 2 2010 SPECIAL ISSUE: IDENTIFICATION IN ECONOMETRICS, THEORY AND APPLICATIONS (2013), pp. 73-102 (30 pages) We suggest and compare different methods for ...