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Estimation and inference in dynamic unbalanced panel-data models with a small number of individuals Author info | Abstract | Publisher info | Download info | Related research | Statistics Giovanni S. F. Bruno (Istituto di Economia Politica, Bocconi University, Milan)
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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.
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Article provided by StataCorp LP in its journal Stata Journal .
Volume (Year): 5 (2005)
Issue (Month): 4 (December)
Pages: 473-500
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Handle: RePEc:tsj:stataj:v:5:y:2005:i:4:p:473-500Contact details of provider: Web page: http://www.stata-journal.com/
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Keywords: xtlsdvc ; bias approximation ; unbalanced panels ; dynamic panel data ; LSDV estimator ; Monte Carlo experiment ; bootstrap variance-covariance ; Other versions of this item:
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.: Arellano, Manuel & Bond, Stephen, 1991.
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references Cited by : (explanations , 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.)
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Léger, Andréanne, 2006.
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Boris Augurzky & Dirk Engel & Christoph M. Schmidt & Christoph Schwierz, 2009.
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