A Monte Carlo study of a factor analytical method for fixed-effects dynamic panel models

Milda Norkute

Economics Letters, 2014, vol. 123, issue 3, 348-351

Abstract: In a recent article Bai (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)
Date: 2014
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:123:y:2014:i:3:p:348-351

DOI: 10.1016/j.econlet.2014.03.020

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