IDEAS home Printed from https://ideas.repec.org/p/ags/monebs/267906.html

A Comparative Analysis of Different Estimations for Dynamic Panel Data Models

Author

Listed:
  • Harris, Mark N.
  • Matyas, Laszlo

Abstract

It has become increasingly obvious that the estimation of dynamic panel data models has become one of the major issues in recent econometric research as evidenced by the plethora of papers on the subject. It is well known that the usual techniques for estimating panel data models are inconsistent in the dynamic setting. However, numerous consistent estimators have been proposed in the literature. In this paper, two new estimators are offered (one each for the fixed and random effects specifications), and their small sample performance compared with that of all of the existing estimators. It is hoped that the results of these experiments will provide invaluable guidance to applied researchers as to which is the preferred estimator(s). Finally, the divergences in point estimates of all of these estimators is illustrated with an application to a consumer demand schedule of laundry detergent in the metropolitan district of Melbourne, Australia.

Suggested Citation

  • Harris, Mark N. & Matyas, Laszlo, "undated". "A Comparative Analysis of Different Estimations for Dynamic Panel Data Models," Department of Econometrics and Business Statistics Working Papers 267906, Monash University, Department of Econometrics and Business Statistics.
    • Handle: RePEc:ags:monebs:267906
    DOI: 10.22004/ag.econ.267906
    as

    Download full text from publisher

    File URL: https://ageconsearch.umn.edu/record/267906/files/monash-213.pdf
    Download Restriction: no
    File URL: https://ageconsearch.umn.edu/record/267906/files/monash-213.pdf?subformat=pdfa
    Download Restriction: no
    File URL: https://libkey.io/10.22004/ag.econ.267906?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Other versions of this item:

    More about this item

    Keywords

    ;
    ;
    ;

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ags:monebs:267906. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: AgEcon Search (email available below). General contact details of provider: https://edirc.repec.org/data/dxmonau.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.