我引用一段 Levine, R., Loayza, N., and Beck, T. (2000), "Financial intermediation and growth: causality and causes." Journal of Monetary Economics, 66, 31–77.
http://www.sciencedirect.com/science/article/pii/S0304393200000179 让大家做个参考：
We employ two GMM panel estimators; both are based on the use of lagged observations of the explanatory variables as instruments (thus labeled `internal' instruments). - In the first GMM panel estimator, we (a) difference the regression equation to remove any omitted variable bias created by unobserved country-specific effects, and then (b) instrument the right-hand-side variables (the differenced values of the original regressors) using lagged values of the original regressors to eliminate potential parameter inconsistency arising from simultaneity bias. This difference dynamic-panel estimator, developed by Arellano and Bond (1991) and Holtz-Eakin et al. (1990), has increasingly been used in studies of growth (Caselli et al., 1996; Easterly et al., 1997).
- We also use a second GMM dynamic panel estimator that improves upon the difference estimator in so far as the quality of the instruments is concerned. Specifically, lagged values of financial development frequently make weak instruments for forecasting changes in financial development. This weak instrument problem can induce biases in finite samples and poor precision even asymptotically (Alonso-Borrego and Arellano, 1996). The second GMM panel estimator mitigates this problem by complementing the difference specification with the original regression specified in levels. This system estimator, developed by Arellano and Bover (1995), offers dramatic improvements in both effciency and consistency in Monte Carlo simulations (Blundell and Bond, 1997).
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