A Monte Carlo comparison of alternative estimators for dynamic panel data models
AbstractThis article compares the performance of three recently proposed estimators for dynamic panel data models (LSDV bias-corrected, MLE and MDE) along with GMM. Using Monte Carlo, we find that MLE and bias-corrected estimators have the smallest bias and are good alternatives for the GMM. System-GMM outperforms the rest in 'difficult' designs. Unfortunately, bias-corrected estimator is not reliable in these designs which may limit its applicability.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Economics Letters.
Volume (Year): 15 (2007)
Issue (Month): 1 ()
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Other versions of this item:
- Lokshin, Boris, 2006. "Monte-Carlo comparison of alternative estimators for dynamic panel data models," Research Memorandum 014, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
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