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Monte-Carlo comparison of alternative estimators for dynamic panel data models

  • Lokshin Boris

    (METEOR)

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 ‘difficult’ designs. Unfortunately, bias-corrected estimator is not reliable in these designs which may limit its applicability.

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File URL: http://digitalarchive.maastrichtuniversity.nl/fedora/objects/guid:2418d2e9-b93e-4a41-a97e-3609b2524b6a/datastreams/ASSET1/content
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Paper provided by Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) in its series Research Memorandum with number 014.

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Date of creation: 2006
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Handle: RePEc:unm:umamet:2006014
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  1. Hsaio, Cheng & Pesaran, M. Hashem & Tahmiscioglu, A. Kamil, 1998. "Maximum Likelihood Estimation of Fixed Effects Dynamic Panel Data Models Covering Short Time Periods," Cambridge Working Papers in Economics 9826, Faculty of Economics, University of Cambridge.
  2. Richard Blundell & Steve Bond, 1995. "Initial conditions and moment restrictions in dynamic panel data models," IFS Working Papers W95/17, Institute for Fiscal Studies.
  3. Bun, Maurice J.G. & Carree, Martin A., 2005. "Bias-Corrected Estimation in Dynamic Panel Data Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 23, pages 200-210, April.
  4. Kiviet, Jan F., 1995. "On bias, inconsistency, and efficiency of various estimators in dynamic panel data models," Journal of Econometrics, Elsevier, vol. 68(1), pages 53-78, July.
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