Can GMM apply for a panel data with large T ?

[shifting mt]

Dear Statalis Members,

I have a panel data of 13 variables (including the Y) around 1,700 firms from 1991 to 2015 with missing figures.

Is the T (25 years) too big for applying GMM estimates ? What are the potential problems for using a large time period (say over 25, maybe 50 years) for GMM ?


Thank you in advance.
Chad

[shifting mt]

large N and small T. how large is large, and how small is small? are 1,700 firms large enough compare to 25 years?

[Ariel Karlinsky]

From what I know, when the literature describes issues with "Large T" - it means "relative to N". your T maybe larger than other panel studies, but it's still considered small compared to your N (number of panel units). Thus I see no reason why GMM estimation would be inadequate.

[Nick Cox]

shifting mt/Chad: We ask for full real names here. For more on why, and on how to fix it:

http://www.statalist.org/forums/help#realnames

http://www.statalist.org/forums/help#adviceextras #3

[Jesse Wursten]

I agree with #3, N1700/T25 is still very much in large N/small T territory.