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

This article 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 bias-corrected 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.

MoreLess

Year of publication:	2007
Authors:	Lokshin, Boris
Published in:	Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 15.2007, 1, p. 15-18
Publisher:	Taylor & Francis Journals

More details

Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009278012