Half-panel jackknife estimation for dynamic panel models

Adrian Mehic

Economics Letters, 2020, vol. 190, issue C

Abstract: This paper extends the half-panel jackknife (HPJ) estimator to GMM models with fixed effects. The Monte Carlo results show that the HPJ significantly reduces finite-sample bias for both the difference and system GMM estimators of the dynamic panel model.

Keywords: Dynamic panel data; GMM; Jackknife (search for similar items in EconPapers)
JEL-codes: C13 C23 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:190:y:2020:i:c:s0165176520300781

DOI: 10.1016/j.econlet.2020.109082

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