I am currently trying to understand a possible dynamic panel model with the years of observation (t) higher than the number of unit of observation (n). The particular dataset contain 6 different cross-sectional region observed within the span of 30 years.
I am not familiar with GMM, but I think, that it is applicable independent of t>n or t
Answer from ChatGPT
It is possible to build a GMM with the number of observations (n) being lower than the number of time periods (t). However, in general it is recommended to have a larger number of observations than the number of parameters being estimated. This is known as the "curse of dimensionality" and can lead to overfitting and poor model performance. Additionally, a GMM requires estimation of the mean, covariance, and mixing proportion for each component, which may be difficult to do with a small number of observations. Therefore, it is generally recommended to have a sufficient amount of data when building a GMM model.
check this paper I found it somehow helpful:
http://www.scielo.org.co/pdf/rce/v41n1/0120-1751-rce-41-01-00031.pdf
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