Monte Carlo analysis for dynamic panel data models

Giovanni Bruno ()

United Kingdom Stata Users' Group Meetings 2005 from Stata Users Group

Abstract: The Monte Carlo strategy by McLeod and Hipel (Water Resources Research, 1978), originally thought for time series data, has been adapted to dynamic panel data models by Kiviet (1995). This procedure is more efficient than the traditional approaches in that it generates start-up values according to the data generation process, so it avoids wasting random numbers in the generation of initial conditions and also small sample non-stationarity problems. This presentation discusses my Stata implementation of Kiviet's (Journal of Econometrics, 1995) procedure, as used in Bruno (2005) and (2004) to evaluate the finite sample properties of theoretical approximations for the LSDV bias (Bruno (Economics Letters 2005; UKSUG 2004)) and of the bias-corrected LSDV estimator (Bruno (2004); Italian SUG 2004) in the presence of unbalanced designs.

Date: 2005-03-03
References: Add references at CitEc
Citations: View citations in EconPapers (8)

Downloads: (external link)
http://repec.org/usug2005/Bruno.pdf presentation slides (application/pdf)
http://repec.org/usug2005/xtarsim.ado program code (text/plain)
http://repec.org/usug2005/xtarsim.hlp help file (text/plain)
http://repec.org/usug2005/dyn_bias.do sample program (text/plain)
http://repec.org/usug2005/static2way_bias.do sample program (text/plain)

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:boc:usug05:06

Access Statistics for this paper

More papers in United Kingdom Stata Users' Group Meetings 2005 from Stata Users Group Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F Baum ().