A Monte Carlo comparison of alternative estimators for dynamic panel data models
Boris Lokshin
Applied Economics Letters, 2007, vol. 15, issue 1, 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.
Date: 2007
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Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:15:y:2007:i:1:p:15-18
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DOI: 10.1080/13504850600706545
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