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
Authors:	Norkute, Milda
Publisher:	Lund : Lund University, School of Economics and Management, Department of Economics
Subject:	Dynamic panel data models \| Heteroscedasticity \| Monte Carlo simulations

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Series:	Working Paper ; 2014:7
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	779891414 [GVK] hdl:10419/260105 [Handle] RePEc:hhs:lunewp:2014_007 [RePEc]
Classification:	C13 - Estimation ; C33 - Models with Panel Data
Source:	EconStor

Persistent link: https://www.econbiz.de/10013208676