Nearly Unbiased Estimationin Dynamic Panel Data Models
AbstractThis paper introduces two easy to calculate estimators with desirable properties for theautoregressive parameter in dynamic panel data models. The estimators are (nearly) unbiased andperform satisfactorily even for small samples in either the time-series or cross-section dimension.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. 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.
Bibliographic InfoPaper provided by Tinbergen Institute in its series Tinbergen Institute Discussion Papers with number 02-008/2.
Date of creation: 06 Feb 2002
Date of revision:
Contact details of provider:
Web page: http://www.tinbergen.nl
dynamic panel data; Nickell bias; bias-correction;
Find related papers by JEL classification:
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
This paper has been announced in the following NEP Reports:
- NEP-ALL-2002-03-04 (All new papers)
- NEP-ECM-2002-03-04 (Econometrics)
- NEP-ETS-2002-04-08 (Econometric Time Series)
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.:
- Nickell, Stephen J, 1981. "Biases in Dynamic Models with Fixed Effects," Econometrica, Econometric Society, Econometric Society, vol. 49(6), pages 1417-26, November.
- R Blundell & Steven Bond, .
"Initial conditions and moment restrictions in dynamic panel data model,"
W14&104., Economics Group, Nuffield College, University of Oxford.
- Blundell, Richard & Bond, Stephen, 1998. "Initial conditions and moment restrictions in dynamic panel data models," Journal of Econometrics, Elsevier, Elsevier, vol. 87(1), pages 115-143, August.
- Richard Blundell & Steve Bond, 1995. "Initial conditions and moment restrictions in dynamic panel data models," IFS Working Papers, Institute for Fiscal Studies W95/17, Institute for Fiscal Studies.
- Blundell, R. & Bond, S., 1995. "Initial Conditions and Moment Restrictions in Dynamic Panel Data Models," Economics Papers 104, Economics Group, Nuffield College, University of Oxford.
- James G. MacKinnon & Anthony A. Smith, Jr., .
"Approximate Bias Correction in Econometrics,"
GSIA Working Papers, Carnegie Mellon University, Tepper School of Business
1997-36, Carnegie Mellon University, Tepper School of Business.
- Mackinnon, J.G. & Smith, A.A., 1996. "Approximate Bias Correction in Econometrics," G.R.E.Q.A.M., Universite Aix-Marseille III 96a14, Universite Aix-Marseille III.
- James G. MacKinnon & Anthony A. Smith Jr., 1995. "Approximate Bias Correction in Econometrics," Working Papers, Queen's University, Department of Economics 919, Queen's University, Department of Economics.
- Dolores Collado, M., 1997. "Estimating dynamic models from time series of independent cross-sections," Journal of Econometrics, Elsevier, Elsevier, vol. 82(1), pages 37-62.
- Andrews, Donald W K, 1993. "Exactly Median-Unbiased Estimation of First Order Autoregressive/Unit Root Models," Econometrica, Econometric Society, Econometric Society, vol. 61(1), pages 139-65, January.
- Kitazawa, Yoshitsugu, 2001. "Exponential regression of dynamic panel data models," Economics Letters, Elsevier, Elsevier, vol. 73(1), pages 7-13, October.
- Mehari Mekonnen Akalu, 2002. "Measuring and Ranking Value Drivers," Tinbergen Institute Discussion Papers, Tinbergen Institute 02-043/2, Tinbergen Institute.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Antoine Maartens (+31 626 - 160 892)).
If references are entirely missing, you can add them using this form.