IDEAS home Printed from https://ideas.repec.org/p/boc/usug05/06.html
   My bibliography  Save this paper

Monte Carlo analysis for dynamic panel data models

Author

Listed:
  • Giovanni S.F. Bruno

    () (Universita Commerciale Luigi Bocconi, Milano)

Abstract

The Monte Carlo strategy by McLeod and Hipel (Water Resources Research, 1978), originally thought for time series data, has been adapted to dynamic panel data models by Kiviet (1995). This procedure is more efficient than the traditional approaches in that it generates start-up values according to the data generation process, so it avoids wasting random numbers in the generation of initial conditions and also small sample non-stationarity problems. This presentation discusses my Stata implementation of Kiviet's (Journal of Econometrics, 1995) procedure, as used in Bruno (2005) and (2004) to evaluate the finite sample properties of theoretical approximations for the LSDV bias (Bruno (Economics Letters 2005; UKSUG 2004)) and of the bias-corrected LSDV estimator (Bruno (2004); Italian SUG 2004) in the presence of unbalanced designs.

Suggested Citation

  • Giovanni S.F. Bruno, 2005. "Monte Carlo analysis for dynamic panel data models," United Kingdom Stata Users' Group Meetings 2005 06, Stata Users Group.
  • Handle: RePEc:boc:usug05:06
    as

    Download full text from publisher

    File URL: http://repec.org/usug2005/Bruno.pdf
    File Function: presentation slides
    Download Restriction: no

    File URL: http://repec.org/usug2005/xtarsim.ado
    File Function: program code
    Download Restriction: no

    File URL: http://repec.org/usug2005/xtarsim.hlp
    File Function: help file
    Download Restriction: no

    File URL: http://repec.org/usug2005/dyn_bias.do
    File Function: sample program
    Download Restriction: no

    File URL: http://repec.org/usug2005/static2way_bias.do
    File Function: sample program
    Download Restriction: no

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Klinger, Sabine & Wolf, Katja, 2008. "What explains changes in full-time and part-time employment in Western Germany? : a new method on an old question," IAB Discussion Paper 200807, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany].
    2. Tehmina S. Khan, 2006. "Productivity Growth, Technological Convergence, RandD, Trade, and Labor Markets; Evidence From the French Manufacturing Sector," IMF Working Papers 06/230, International Monetary Fund.

    More about this item

    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:boc:usug05:06. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F Baum). General contact details of provider: http://edirc.repec.org/data/stataea.html .

    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 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.

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

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.