Bootstrap-based bias correction and inference for dynamic panels with fixed effects

Ignace De Vos, Gerdie Everaert and Ilse Ruyssen

Stata Journal, 2015, vol. 15, issue 4, 986-1018

Abstract: In this article, we describe a new command, xtbcfe, that performs the iterative bootstrap-based bias correction for the fixed-effects estimator in dynamic panels proposed by Everaert and Pozzi (2007, Journal of Economic Dynamics and Control 31: 1160–1184). We first simplify the core of their algorithm by using the invariance principle and subsequently extend it to allow for unbalanced and higher-order dynamic panels. We implement various bootstrap error resampling schemes to account for general heteroskedasticity and contemporaneous cross-sectional dependence. Inference can be performed using a bootstrapped variance–covariance matrix or percentile intervals. Monte Carlo simulations show that the simplification of the original algorithm results in a further bias reduction for very small T. The Monte Carlo results also support the bootstrap-based bias correction in higher-order dynamic panels and panels with cross-sectional dependence. We illustrate the command with an empirical example estimating a dynamic labor–demand function. Copyright 2015 by StataCorp LP.

Keywords: xtbcfe; bootstrap-based bias correction; dynamic panel data; unbalanced; higher order; heteroskedasticity; cross-sectional dependence; Monte Carlo; labor demand; bootstrap (search for similar items in EconPapers)
Date: 2015
Note: to access software from within Stata, net describe http://www.stata-journal.com/software/sj15-4/st0396/
References: Add references at CitEc
Citations: View citations in EconPapers (66)

Downloads: (external link)
http://www.stata-journal.com/article.html?article=st0396 link to article purchase

Related works:
Working Paper: BOOTSTRAP-BASED BIAS CORRECTION AND INFERENCE FOR DYNAMIC PANELS WITH FIXED EFFECTS (2015)
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:tsj:stataj:v:15:y:2015:i:4:p:986-1018

Ordering information: This journal article can be ordered from
http://www.stata-journal.com/subscription.html

Access Statistics for this article

Stata Journal is currently edited by Nicholas J. Cox and Stephen P. Jenkins

More articles in Stata Journal from StataCorp LLC
Bibliographic data for series maintained by Christopher F. Baum () and Lisa Gilmore ().