A Monte Carlo Study of a Factor Analytical Method for Fixed-Effects Dynamic Panel Models

In a recent article Bai (Fixed-Effects Dynamic Panel Models, A Factor Analytical Method. Econometrica 81, 285-314, 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:	2014-02-18
Authors:	Norkute, Milda
Institutions:	Nationalekonomiska Institutionen, Ekonomihögskolan
Subject:	Dynamic panel data models \| Heteroscedasticity \| Monte Carlo simulations

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Extent:	application/pdf
Series:	Working Papers.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series Working Papers Number 2014:7 20 pages
Classification:	C13 - Estimation ; C33 - Models with Panel Data
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010742095