A Monte Carlo study of a factor analytical method for fixed-effects dynamic panel models

In a recent article Bai (2013a) proposes a new factor analytical method (FAM) for the estimation of fixed-effects dynamic panel data models, which has the unique and very useful property that it is asymptotically bias free. In this paper we provide Monte Carlo evidence of the good small-sample performance of FAM, that complement Bai’s theoretical study.

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Year of publication:	2014
Authors:	Norkute, Milda
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 123.2014, 3, p. 348-351
Publisher:	Elsevier
Subject:	Dynamic panel data models \| Heteroscedasticity \| Monte Carlo simulations

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Type of publication:	Article
Classification:	C13 - Estimation ; C33 - Models with Panel Data
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010776634