Monte Carlo Comparison of Alternative Estimators for Dynamic Panel Data Models

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 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

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Year of publication:	2011
Authors:	Lokshin, Boris
Publisher:	[2011]: [S.l.] : SSRN
Subject:	Panel \| Panel study \| Monte-Carlo-Simulation \| Monte Carlo simulation \| Schätztheorie \| Estimation theory \| Momentenmethode \| Method of moments

Extent:	1 Online-Ressource (8 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Applied Economics Letters, Vol. 15, No. 1-3, 2008 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments June 8, 2011 erstellt
Classification:	C23 - Models with Panel Data
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013124095