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

Milda Norkute ()
Additional contact information
Milda Norkute: Department of Economics, Lund University, Postal: Department of Economics, School of Economics and Management, Lund University, Box 7082, S-220 07 Lund, Sweden, http://www.nek.lu.se/en/contact/phd

No 2014:7, Working Papers from Lund University, Department of Economics

Abstract: 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.

Keywords: Dynamic panel data models; Heteroscedasticity; Monte Carlo simulations (search for similar items in EconPapers)
JEL-codes: C13 C33 (search for similar items in EconPapers)
Pages: 20 pages
Date: 2014-02-18
New Economics Papers: this item is included in nep-ecm and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://project.nek.lu.se/publications/workpap/papers/WP14_7.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 500 Can't connect to project.nek.lu.se:80 (nodename nor servname provided, or not known)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hhs:lunewp:2014_007

Access Statistics for this paper

More papers in Working Papers from Lund University, Department of Economics School of Economics and Management, Box 7080, S-22007 Lund, Sweden. Contact information at EDIRC.
Bibliographic data for series maintained by Iker Arregui Alegria ().