Monte-Carlo comparison of alternative estimators for dynamic panel data models
This paper compares the performance of three recently proposed estimators for dynamic panel data models (LSDV bias-corrected, MLE and MDE) along with GMM. Using Monte-Carlo, we find that MLE and biascorrected estimators have the smallest bias and are good alternatives for the GMM. System-GMM outperforms the rest in â€˜difficultâ€™ designs. Unfortunately, bias-corrected estimator is not reliable in these designs which may limit its applicability.
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"Bias-Corrected Estimation in Dynamic Panel Data Models,"
Journal of Business & Economic Statistics,
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