# Why N>T is required on system GMM estimations?

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

• Perhaps some parameters are allowed to vary by time period. – Jesper Hybel Jan 27 at 16:35

• 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 Jan 29 at 12:45