A Monte Carlo comparison of alternative estimators for dynamic panel data models

Boris Lokshin

Applied Economics Letters, 2008, vol. 15, issue 1, pages 15-18

Abstract: This article 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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