Why N>T is required on system GMM estimations? 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?
Thanks
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.