IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this paper or follow this series

Monte Carlo analysis for dynamic panel data models

  • Giovanni S.F. Bruno

    ()

    (Universita Commerciale Luigi Bocconi, Milano)

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.

If 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.

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

Paper provided by Stata Users Group in its series United Kingdom Stata Users' Group Meetings 2005 with number 06.

as
in new window

Length:
Date of creation: 03 Mar 2005
Date of revision:
Handle: RePEc:boc:usug05:06
Contact details of provider: Web page: http://www.stata.com/meeting/11uk
More information through EDIRC

No references listed on IDEAS
You can help add them by filling out this form.

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

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)

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.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with 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 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.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.