Monte-Carlo comparison of alternative estimators for dynamic panel data models
AbstractThis paper compares the performance of three recently proposed estimators for dynamic panel data models (LSDV bias-corrected, MLE and MDE) along with GMM. Using Monte-Carlo, we find that MLE and biascorrected estimators have the smallest bias and are good alternatives for the GMM. System-GMM outperforms the rest in ‘difficult’ designs. Unfortunately, bias-corrected estimator is not reliable in these designs which may limit its applicability.
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Bibliographic InfoPaper provided by Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization in its series Research Memoranda with number 014.
Date of creation: 2006
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Web page: http://www.maastrichtuniversity.nl/web/UMPublications.htm
Other versions of this item:
- Boris Lokshin, 2007. "A Monte Carlo comparison of alternative estimators for dynamic panel data models," Applied Economics Letters, Taylor and Francis Journals, vol. 15(1), pages 15-18.
- Lokshin, Boris, 2008. "A Monte Carlo comparison of alternative estimators for dynamic panel data models," Open Access publications from Maastricht University urn:nbn:nl:ui:27-20505, Maastricht University.
- NEP-ALL-2006-04-29 (All new papers)
- NEP-ECM-2006-04-29 (Econometrics)
- NEP-ETS-2006-04-29 (Econometric Time Series)
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