<p>Asymptotics are done as N goes to infinity and not T. If T is larger than N, this assumption is odd. True for most of what is commonly called panel data estimators.</p>

CC BY-SA 4.0
2021-01-29T12:45:50.880Z
Your point is good (+1), but I am not sure that this is the true reason (why several software do not compute it numerically). I have the feeling that it is related to the rank of the weighting matrix $W$.
Bertrand
CC BY-SA 4.0
2021-01-30T17:25:38.453Z
This looks related but I'm not sure if its helpful. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1412035
mark leeds
CC BY-SA 4.0
2021-01-28T16:46:34.123Z
2021-01-28T16:46:34.123Z
Papayapap
<p>My question is why N&gt;T is required when working with dynamic panel estimations based on system GMM, such as xtdpdsys at stata. Is that based on the potential lost of information due to orthogonal deviations?</p>
<p>Thanks</p>

CC BY-SA 4.0
2021-01-27T16:35:10.930Z
Perhaps some parameters are allowed to vary by time period.
Jesper Hybel
<econometrics><statistics><applied-econometrics>
Why N>T is required on system GMM estimations?
RLF
# Why N>T is required on system GMM estimations?

(Asked by: username_0 on 2021-01-27)

My question is why N>T is required when working with dynamic panel estimations based on system GMM, such as xtdpdsys at stata. Is that based on the potential lost of information due to orthogonal deviations?

Thanks

**Tags:** econometrics, statistics, applied-econometrics

> **Comments:**
> **username_1**: Perhaps some parameters are allowed to vary by time period.  

---

## 1 answers

### Answer by username_2 on 2021-01-28. Score: 2

Asymptotics are done as N goes to infinity and not T. If T is larger than N, this assumption is odd. True for most of what is commonly called panel data estimators.

> **Comments:**
> **username_3**: Your point is good (+1), but I am not sure that this is the true reason (why several software do not compute it numerically). I have the feeling that it is related to the rank of the weighting matrix $W$.  
> **username_4**: This looks related but I'm not sure if its helpful. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1412035  

---

