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Bias-corrected estimation in dynamic panel data models

Author

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  • Bun M.J.G.
  • Carree M.A.

    (METEOR)

Abstract

This study develops a new bias-corrected estimator for the fixed-effects dynamic panel data model and derives its limiting distribution for fixed T and N large. The bias-corrected estimator is derived as a bias correction of the least-squares dummy variable (within) estimator. It does not share some of the drawbacks of recently developed IV and GMM estimators and is relatively easy to compute. Monte Carlo experiments provide evidence for the bias-corrected estimator to perform well even in small samples. The paper contains an application to a model of unemployment dynamics at the U.S. state level for the 1991-2000 period.

Suggested Citation

  • Bun M.J.G. & Carree M.A., 2002. "Bias-corrected estimation in dynamic panel data models," Research Memorandum 025, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  • Handle: RePEc:unm:umamet:2002025
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    References listed on IDEAS

    as
    1. Peleg,Bezalel, 2008. "Game Theoretic Analysis of Voting in Committees," Cambridge Books, Cambridge University Press, number 9780521074650.
    2. Hart, Sergiu & Kohlberg, Elon, 1974. "Equally distributed correspondences," Journal of Mathematical Economics, Elsevier, vol. 1(2), pages 167-174, August.
    3. Moulin, H. & Peleg, B., 1982. "Cores of effectivity functions and implementation theory," Journal of Mathematical Economics, Elsevier, vol. 10(1), pages 115-145, June.
    4. B Pezaleleleg & Hans Peters, 2006. "Consistent Voting Systems with a Continuum of Voters," Social Choice and Welfare, Springer;The Society for Social Choice and Welfare, vol. 27(3), pages 477-492, December.
    5. repec:dau:papers:123456789/13220 is not listed on IDEAS
    6. Peleg, Bezalel, 1978. "Consistent Voting Systems," Econometrica, Econometric Society, vol. 46(1), pages 153-161, January.
    7. Gibbard, Allan, 1973. "Manipulation of Voting Schemes: A General Result," Econometrica, Econometric Society, vol. 41(4), pages 587-601, July.
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    Keywords

    labour economics ;

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