Which panel data estimator should I use? A corrigendum and extension

Mantobaye Moundigbaye, William S. Rea and W. Reed ()

Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), 2018, vol. 12, No 2018-4, 31 pages

Abstract: This study uses Monte Carlo experiments to produce new evidence on the performance of a wide range of panel data estimators. It focuses on estimators that are readily available in statistical software packages such as Stata and Eviews, and for which the number of cross-sectional units (N) and time periods (T) are small to moderate in size. The goal is to develop practical guidelines that will enable researchers to select the best estimator for a given type of data. It extends a previous study on the subject (Reed and Ye, Which panel data estimator should I use? 2011), and modifies their recommendations. The new recommendations provide a (virtually) complete decision tree: When it comes to choosing an estimator for efficiency, it uses the size of the panel dataset (N and T) to guide the researcher to the best estimator. When it comes to choosing an estimator for hypothesis testing, it identifies one estimator as superior across all the data scenarios included in the study. An unusual finding is that researchers should use different estimators for estimating coefficients and testing hypotheses. The authors present evidence that bootstrapping allows one to use the same estimator for both.

Keywords: Panel data estimators; Monte Carlo simulation; PCSE; Parks model (search for similar items in EconPapers)
JEL-codes: C23 C33 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (21)

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http://dx.doi.org/10.5018/economics-ejournal.ja.2018-4
https://www.econstor.eu/bitstream/10419/173754/1/1012227022.pdf (application/pdf)

Related works:
Working Paper: Which Panel Data Estimator Should I Use?: A Corrigendum and Extension (2017)
Working Paper: Which panel data estimator should I use? A corrigendum and extension (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:ifweej:20184

DOI: 10.5018/economics-ejournal.ja.2018-4

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