Through Monte Carlo experiments the small sample behavior is examined of various inference techniques for dynamic panel data models when both the time-series and cross-section dimensions of the data set are small. The LSDV technique and corrected versions of it are compared with IV and GMM regarding: coefficient bias, accuracy of variance estimators - both of the disturbances and of the coefficient estimators - and the actual size of coefficient tests. A reasonably simple and consistent bias adjusted LSDV estimator, for which we find an analytical and a bootstrap consistent estimator of its variance, performs relatively well. Further higher-order refinements of the bias correction do not improve the accuracy considerably. Most techniques show substantial size distortions for asymptotic t tests. Finally, it is illustrated how these findings help to interpret empirical results on the relationship between so-called dynamic externalities and local economic activity in Moroccan urban areas.
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. 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.
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.)
Did you know? All full texts are decentralized with the publishers, none reside on this server, thus making it possible to offer this service for free to all parties.