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Estimation of a Dynamic Panel Data: The Case Of Corporate Investment in Chile

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  • Rodrigo Alfaro

Abstract

In this paper I discuss about the estimation of Dynamic Panel Data model, showing that we can reduce the finite-sample bias of the Arellano-Bond estimator by truncation of the number of lags used in this estimator. We check our theoretical result in an empirical application using a panel of Chilean firms.

Suggested Citation

  • Rodrigo Alfaro, 2008. "Estimation of a Dynamic Panel Data: The Case Of Corporate Investment in Chile," Working Papers Central Bank of Chile 467, Central Bank of Chile.
    • Handle: RePEc:chb:bcchwp:467
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    File URL: https://www.bcentral.cl/documents/33528/133326/DTBC_467.pdf
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    References listed on IDEAS

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    15. Hahn, Jinyong & Kuersteiner, Guido & Cho, Myeong Hyeon, 2004. "Asymptotic distribution of misspecified random effects estimator for a dynamic panel model with fixed effects when both n and T are large," Economics Letters, Elsevier, vol. 84(1), pages 117-125, July.
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    Cited by:

    1. Miguel FUENTES, 2009. "Dollarization Of Debt Contracts: Evidence From Chilean Firms," The Developing Economies, Institute of Developing Economies, vol. 47(4), pages 458-487, December.

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