Monte Carlo analysis for dynamic panel data models
AbstractThe Monte Carlo strategy by McLeod and Hipel (Water Resources Research, 1978), originally thought for time series data, has been adapted to dynamic panel data models by Kiviet (1995). This procedure is more efficient than the traditional approaches in that it generates start-up values according to the data generation process, so it avoids wasting random numbers in the generation of initial conditions and also small sample non-stationarity problems. This presentation discusses my Stata implementation of Kiviet's (Journal of Econometrics, 1995) procedure, as used in Bruno (2005) and (2004) to evaluate the finite sample properties of theoretical approximations for the LSDV bias (Bruno (Economics Letters 2005; UKSUG 2004)) and of the bias-corrected LSDV estimator (Bruno (2004); Italian SUG 2004) in the presence of unbalanced designs.
Download InfoIf 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.
Bibliographic InfoPaper provided by Stata Users Group in its series United Kingdom Stata Users' Group Meetings 2005 with number 06.
Date of creation: 03 Mar 2005
Date of revision:
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Tehmina S. Khan, 2006. "Productivity Growth, Technological Convergence, RandD, Trade, and Labor Markets," IMF Working Papers 06/230, International Monetary Fund.
- Klinger, Sabine & Wolf, Katja, 2008. "What explains changes in full-time and part-time employment in Western Germany? : a new method on an old question," IAB Discussion Paper 200807, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany].
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F Baum).
If references are entirely missing, you can add them using this form.