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Approximating the Bias of the LSDV Estimator for Dynamic Unbalanced Panel Data Models

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  • Giovanni S.F. Bruno

    (Università Bocconi Istituto di Economia Politica)

Abstract

This 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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File URL: ftp://ftp.unibocconi.it/pub/RePEc/cri/papers/WP159Bruno.pdf
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Bibliographic Info

Paper provided by KITeS, Centre for Knowledge, Internationalization and Technology Studies, Universita' Bocconi, Milano, Italy in its series KITeS Working Papers with number 159.

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Length: 17 pages
Date of creation: Jul 2004
Date of revision: Jul 2004
Handle: RePEc:cri:cespri:wp159

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Related research

Keywords: Bias approximation; Unbalanced panels; Dynamic panel data; LSDV estimator; Monte Carlo experiment;

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References

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  1. 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.
  2. 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.
  3. 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.
  4. Nickell, Stephen J, 1981. "Biases in Dynamic Models with Fixed Effects," Econometrica, Econometric Society, vol. 49(6), pages 1417-26, November.
  5. 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.
  6. 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.
  7. Kajal Lahiri, 2005. "Analysis of Panel Data," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 87(4), pages 1093-1095.
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