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

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

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Abstract

This study describes a new Stata routine that computes bias-corrected LSDV estimators and thier bootstrap variance-covariance matrix for dynamic (possibly) unbalanced panel data models. 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 estimators and three popular N-consistent estimators: Arellano-Bond, Anderson-Hsiao and Blundell-Bond. Results strongly support the bias-corrected LSDV estimators according to bias and root mean squared error criteria when the number of individuals is small.

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File URL: ftp://ftp.unibocconi.it/pub/RePEc/cri/papers/WP165Bruno.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 165.

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Length: 28 pages
Date of creation: Jun 2005
Date of revision: Jun 2005
Handle: RePEc:cri:cespri:wp165

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Related research
Keywords: Bias approximation; Unbalanced panels; Dynamic Panel data; LSDV estimator; Monte Carlo experiment; Bootstrap variance-covariance;

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Find related papers by JEL classification:
C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data
C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Statistical Simulation Methods

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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.:
  1. 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, Blackwell Publishing, vol. 58(2), pages 277-97, April. [Downloadable!] (restricted)
  2. 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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  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. [Downloadable!] (restricted)
  4. Bruno, Giovanni S.F., 2005. "Approximating the bias of the LSDV estimator for dynamic unbalanced panel data models," Economics Letters, Elsevier, vol. 87(3), pages 361-366, June. [Downloadable!] (restricted)
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  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. [Downloadable!]
  6. Blundell, Richard & Bond, Stephen, 1998. "Initial conditions and moment restrictions in dynamic panel data models," Journal of Econometrics, Elsevier, vol. 87(1), pages 115-143, August. [Downloadable!] (restricted)
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  7. Nickell, Stephen J, 1981. "Biases in Dynamic Models with Fixed Effects," Econometrica, Econometric Society, vol. 49(6), pages 1417-26, November. [Downloadable!] (restricted)
  8. 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)
  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. [Downloadable!] (restricted)
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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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  2. Leger, Andreanne, 2006. "Intellectual Property Rights and Innovation in Developing Countries: Evidence from Panel Data," 2006 Annual meeting, July 23-26, Long Beach, CA 21407, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]
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  4. Markus Tepe & Pieter Vanhuysse, 2009. "Educational business cycles," Public Choice, Springer, vol. 139(1), pages 61-82, April. [Downloadable!] (restricted)
  5. Pock, Markus, 2007. "Gasoline and Diesel Demand in Europe: New Insights," Economics Series 202, Institute for Advanced Studies. [Downloadable!]
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  7. Lokshin, Boris, 2008. "Further results on bias in dynamic unbalanced panel data models with an application to firm R&D investment," UNU-MERIT Working Paper Series 039, United Nations University, Maastricht Economic and social Research and training centre on Innovation and Technology. [Downloadable!]
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  8. Boris Augurzky & Dirk Engel & Christoph M. Schmidt & Christoph Schwierz, 2009. "Ownership and Financial Performance in the German Hospital Sector," Ruhr Economic Papers 0123, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen. [Downloadable!]
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  10. Mackiewicz, Michał, 2008. "Determinants of Cyclicality of Fiscal Surpluses in The OECD Countries," MPRA Paper 16034, University Library of Munich, Germany. [Downloadable!]
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