A Monte Carlo study of the BE estimator for growth regressions
Jan Ditzen and
Erich Gundlach ()
Empirical Economics, 2016, vol. 51, issue 1, 31-55
Abstract A recent Monte Carlo study claims that the BE estimator outperforms other panel estimators in terms of average estimation bias in a dynamic specification of the Solow model in levels (Hauk and Wacziarg in J Econ Growth 14(2):103–147, 2009). Our simulation results show that the reported performance of the BE estimator depends on the selected parameterization of the data generating process. Using alternative parameter values, a different model specification, and a restricted cross-section estimator, we find that the BE estimator tends to produce a coefficient of the lagged endogenous variable that is biased toward 1.
Keywords: Monte Carlo simulations; Dynamic panel specification; BE estimator; Solow model; Convergence rate (search for similar items in EconPapers)
JEL-codes: C15 C23 O47 (search for similar items in EconPapers)
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