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

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Author Info
Giovanni S.F. Bruno (Università Bocconi Istituto di Economia Politica)

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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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Publisher Info
Paper provided by CESPRI, Centre for Research on Innovation and Internationalisation, Universita' Bocconi, Milano, Italy in its series CESPRI 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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Find related papers by JEL classification:
C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data

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  1. Maurice J.G. Bun & Jan F. Kiviet, 2002. "On the Diminishing Returns of Higher-order Terms in Asymptotic Expansions of Bias," Tinbergen Institute Discussion Papers 02-099/4, Tinbergen Institute, revised 24 Oct 2002. [Downloadable!]
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  2. 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. [Downloadable!] (restricted)
  3. Kiviet, Jan F, 1986. "On the Rigour of Some Misspecification Tests for Modelling Dynamic Relationships," Review of Economic Studies, Blackwell Publishing, vol. 53(2), pages 241-61, April. [Downloadable!] (restricted)
  4. Nickell, Stephen J, 1981. "Biases in Dynamic Models with Fixed Effects," Econometrica, Econometric Society, vol. 49(6), pages 1417-26, November. [Downloadable!] (restricted)
  5. 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. [Downloadable!] (restricted)
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