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Iterative Bias Correction Procedures Revisited: A Small Scale Monte Carlo Study

Listed author(s):
  • Arturas Juodis

This paper considers estimation of general panel data models subject to the incidental parameter problem of Neyman and Scott (1948). Our main focus is on the finite sample behavior of analytical bias corrected Maximum Likelihood estimators as discussed in Hahn and Kuersteiner (2002), Hahn and Newey (2004) and Hahn and Kuersteiner (2011). As it is mentioned in Hahn and Newey (2004) and Arellano and Hahn (2006), in principle it is possible to iterate the bias formula to obtain an estimator that might have better finite sample properties than the one step estimator. In this paper we will investigate merits and limitations of iterative bias correction procedures in finite samples, by considering three examples: Panel AR(1), Panel VAR(1) and Static Panel Probit.

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File URL: http://ase.uva.nl/binaries/content/assets/subsites/amsterdam-school-of-economics/research/uva-econometrics/dp-2015/1502.pdf
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Paper provided by Universiteit van Amsterdam, Dept. of Econometrics in its series UvA-Econometrics Working Papers with number 15-02.

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Date of creation: 09 Oct 2015
Handle: RePEc:ame:wpaper:1502
Contact details of provider: Postal:
Dept. of Econometrics, Universiteit van Amsterdam, Valckenierstraat 65, NL - 1018 XE Amsterdam, The Netherlands

Web page: http://www.ase.uva.nl/uva-econometrics
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  1. Binder, Michael & Hsiao, Cheng & Pesaran, M. Hashem, 2005. "Estimation And Inference In Short Panel Vector Autoregressions With Unit Roots And Cointegration," Econometric Theory, Cambridge University Press, vol. 21(04), pages 795-837, August.
  2. Maurice J.G. Bun & Martin A. Carree & Arturas Juodis, 2014. "On Maximum Likelihood estimation of dynamic panel data models," UvA-Econometrics Working Papers 14-04, Universiteit van Amsterdam, Dept. of Econometrics.
  3. Geert Dhaene & Koen Jochmans, 2015. "Split-panel Jackknife Estimation of Fixed-effect Models," Review of Economic Studies, Oxford University Press, vol. 82(3), pages 991-1030.
  4. William Greene, 2004. "The behaviour of the maximum likelihood estimator of limited dependent variable models in the presence of fixed effects," Econometrics Journal, Royal Economic Society, vol. 7(1), pages 98-119, 06.
  5. Kruiniger, Hugo, 2013. "Quasi ML estimation of the panel AR(1) model with arbitrary initial conditions," Journal of Econometrics, Elsevier, vol. 173(2), pages 175-188.
  6. Akashi, Kentaro & Kunitomo, Naoto, 2012. "Some properties of the LIML estimator in a dynamic panel structural equation," Journal of Econometrics, Elsevier, vol. 166(2), pages 167-183.
  7. Arturas Juodis, 2013. "First Difference Transformation in Panel VAR models: Robustness, Estimation and Inference," UvA-Econometrics Working Papers 13-06, Universiteit van Amsterdam, Dept. of Econometrics.
  8. Kiviet, Jan F., 1995. "On bias, inconsistency, and efficiency of various estimators in dynamic panel data models," Journal of Econometrics, Elsevier, vol. 68(1), pages 53-78, July.
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