Advanced Search
MyIDEAS: Login to save this article or follow this journal

Estimation and inference in dynamic unbalanced panel-data models with a small number of individuals

Contents:

Author Info

  • Giovanni S. F. Bruno

    (Istituto di Economia Politica, Bocconi University, Milan)

Abstract

This article describes a new Stata routine, xtlsdvc, that computes bias-corrected least-squares dummy variable (LSDV) estimators and their boot- strap variance-covariance matrix for dynamic (possibly) unbalanced panel-data models with strictly exogenous regressors. A Monte Carlo analysis is carried out to evaluate the finite-sample performance of the bias-corrected LSDV estimators in comparison to the original LSDV estimator and three popular N-consistent estimators: Arellano-Bond, Anderson-Hsiao and Blundell-Bond. Results strongly sup- port the bias-corrected LSDV estimators according to bias and root mean squared error criteria when the number of individuals is small. Copyright 2005 by StataCorp LP.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.stata-journal.com/article.html?article=st0091
Download Restriction: no

File URL: http://www.stata-journal.com/software/sj5-4/st0091/
Download Restriction: no

Bibliographic Info

Article provided by StataCorp LP in its journal Stata Journal.

Volume (Year): 5 (2005)
Issue (Month): 4 (December)
Pages: 473-500

as in new window
Handle: RePEc:tsj:stataj:v:5:y:2005:i:4:p:473-500

Contact details of provider:
Web page: http://www.stata-journal.com/

Order Information:
Web: http://www.stata-journal.com/subscription.html

Related research

Keywords: xtlsdvc; bias approximation; unbalanced panels; dynamic panel data; LSDV estimator; Monte Carlo experiment; bootstrap variance-covariance;

Other versions of this item:

Find related papers by JEL classification:

References

References listed on IDEAS
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.:
as in new window
  1. Kajal Lahiri, 2005. "Analysis of Panel Data," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 87(4), pages 1093-1095.
  2. Steve Bond, 2002. "Dynamic panel data models: a guide to microdata methods and practice," CeMMAP working papers CWP09/02, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  3. David Roodman, 2003. "XTABOND2: Stata module to extend xtabond dynamic panel data estimator," Statistical Software Components S435901, Boston College Department of Economics, revised 28 Jul 2014.
  4. Nickell, Stephen J, 1981. "Biases in Dynamic Models with Fixed Effects," Econometrica, Econometric Society, vol. 49(6), pages 1417-26, November.
  5. Maurice J.G. Bun & Jan F. Kiviet, 2001. "The Accuracy of Inference in Small Samples of Dynamic Panel Data Models," Tinbergen Institute Discussion Papers 01-006/4, Tinbergen Institute.
  6. 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.
  7. 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.
  8. Richard Blundell & Steve Bond, 1995. "Initial conditions and moment restrictions in dynamic panel data models," IFS Working Papers W95/17, Institute for Fiscal Studies.
  9. Anderson, T. W. & Hsiao, Cheng, 1982. "Formulation and estimation of dynamic models using panel data," Journal of Econometrics, Elsevier, vol. 18(1), pages 47-82, January.
  10. Arellano, Manuel & Bond, Stephen, 1991. "Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations," Review of Economic Studies, Wiley Blackwell, vol. 58(2), pages 277-97, April.
  11. 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.
  12. 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.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
This item has more than 25 citations. To prevent cluttering this page, these citations are listed on a separate page.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:tsj:stataj:v:5:y:2005:i:4:p:473-500. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F. Baum) or (Lisa Gilmore).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.