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

Properties of Fixed Effects Dynamic Panel Data Estimators for a Typical Growth Dataset

This paper investigates the properties of dynamic panel data (DPD) estimators in the context of a typical growth dataset. Using Monte Carlo simulations, we compare the performance of various DPD estimators, namely the Anderson-Hsiao (AH) and Arellano-Bond's General Method of Moment (GMM) one-step and two- step estimators, using the least-square dummy variable (LSDV) as a benchmark. We arrive at three conclusions. First, LSDV produces biased estimates and the biases are significant even for a moderate-sized time dimension. Second, there is no immediately obvious choice to replace LSDV among the estimators considered here. For one, there is the bias-efficiency trade-off. In addition, differences in the characteristics of data influence the performances of the various estimators. Finally, serial correlations in the error terms, even at a low degree, can introduce significant biases to the estimations.

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://www.csis.or.id/working_paper_file/24/wpe062.pdf
Our checks indicate that this address may not be valid because: 404 Not Found. If this is indeed the case, please notify (Arya B. Gaduh)


Download Restriction: no

Paper provided by Centre for Strategic and International Studies, Jakarta, Indonesia in its series CSIS Economics Working Paper Series with number WPE062.

as
in new window

Length:
Date of creation: May 2002
Date of revision:
Handle: RePEc:sis:wpecon:wpe062
Contact details of provider: Postal: Jl Tanah Abang III/23-27, Jakarta 10160, Indonesia
Phone: +62 21 386 5532
Fax: +62 21 384 7517
Web page: http://www.csis.or.id
Email:


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:sis:wpecon:wpe062. 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: (Arya B. Gaduh)

The email address of this maintainer does not seem to be valid anymore. Please ask Arya B. Gaduh to update the entry or send us the correct address

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.