Approximating the bias of the LSDV estimator for dynamic unbalanced panel data models
AbstractThis paper extends the LSDV bias approximations in Bun and Kiviet (2003) to unbalanced panels. The approximations are obtained by modify-ing the within operator to accommodate the dynamic selection rule. They are accurate, with higher order terms bringing only decreasing improve-ments to the approximations. This removes an important cause for limited applicability of bias corrected LSDV estimators.
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 87 (2005)
Issue (Month): 3 (June)
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Web page: http://www.elsevier.com/locate/ecolet
Other versions of this item:
- Giovanni S.F. Bruno, 2004. "Approximating the Bias of the LSDV Estimator for Dynamic Unbalanced Panel Data Models," KITeS Working Papers 159, KITeS, Centre for Knowledge, Internationalization and Technology Studies, Universita' Bocconi, Milano, Italy, revised Jul 2004.
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Kiviet, Jan F., 1995.
"On bias, inconsistency, and efficiency of various estimators in dynamic panel data models,"
Journal of Econometrics,
Elsevier, vol. 68(1), pages 53-78, July.
- Tom Doan, . "LSDVC: RATS procedure to estimate a dynamic FE model with correction for bias," Statistical Software Components RTS00111, Boston College Department of Economics.
- Kajal Lahiri, 2005. "Analysis of Panel Data," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 87(4), pages 1093-1095.
- Maurice J.G. Bun & Jan F. Kiviet, 2002.
"On the Diminishing Returns of Higher-order Terms in Asymptotic Expansions of Bias,"
Tinbergen Institute Discussion Papers
02-099/4, Tinbergen Institute, revised 24 Oct 2002.
- Bun, Maurice J. G. & Kiviet, Jan F., 2003. "On the diminishing returns of higher-order terms in asymptotic expansions of bias," Economics Letters, Elsevier, vol. 79(2), pages 145-152, May.
- Jeffrey M. Wooldridge, 2001.
"Econometric Analysis of Cross Section and Panel Data,"
MIT Press Books,
The MIT Press,
edition 1, volume 1, number 0262232197, January.
- Jeffrey M Wooldridge, 2010. "Econometric Analysis of Cross Section and Panel Data," MIT Press Books, The MIT Press, edition 2, volume 1, number 0262232588, January.
- Kiviet, Jan F, 1986. "On the Rigour of Some Misspecification Tests for Modelling Dynamic Relationships," Review of Economic Studies, Wiley Blackwell, vol. 53(2), pages 241-61, April.
- Judson, Ruth A. & Owen, Ann L., 1999. "Estimating dynamic panel data models: a guide for macroeconomists," Economics Letters, Elsevier, vol. 65(1), pages 9-15, October.
- Nickell, Stephen J, 1981. "Biases in Dynamic Models with Fixed Effects," Econometrica, Econometric Society, vol. 49(6), pages 1417-26, November.
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