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 biascorrected 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:	2006
Authors:	Boris, Lokshin
Institutions:	Graduate School of Business and Economics (GSBE), School of Business and Economics
Subject:	econometrics

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Extent:	application/pdf
Series:	Research Memorandum.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series Research Memoranda Number 014
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011160406