A Bias-Corrected Estimation for Dynamic Panel Models in Small Samples
AbstractThis paper is concerned with the estimation of the autoregressive parameter of dynamic panel data models. We propose a bias-corrected GMM estimator whose bias is smaller than that of many existing GMM estimators. And we propose a small sample corrected estimator of the variance in order to reduce the size distortion of the Wald test. These estimators are easy to calculate and do not require preliminary estimates. The Monte Carlo experiments indicate that in terms of both bias and size distortion, the bias corrected estimator out performs Blundell and Bond's (1998) system estimator even when using Windmeijer's (2005) correction of the estimated variance of the system estimator.
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Bibliographic InfoPaper provided by Institute of Economic Research, Hitotsubashi University in its series Hi-Stat Discussion Paper Series with number d06-177.
Date of creation: Jul 2006
Date of revision:
Generalized method of moments; bias correction; panel data;
Find related papers by JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- 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-2006-08-12 (All new papers)
- NEP-ECM-2006-08-12 (Econometrics)
- NEP-ETS-2006-08-12 (Econometric Time Series)
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- Hayakawa, Kazuhiko, 2010. "The effects of dynamic feedbacks on LS and MM estimator accuracy in panel data models: Some additional results," Journal of Econometrics, Elsevier, vol. 159(1), pages 202-208, November.
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