Are unit root tests (stationarity) necessary for the use of DIF GMM (Arellano and Bond, 1991) or SYS GMM (Blundell and Bond, 1998)?

Based on dynamic panel data models and the generalized method of moments, if the DIF GMM or SYS GMM are not subject to serial correlation (in particular of second order) and the instruments are...

13 August 2017 6,987 12 View