On Bootstrap Standard Errors in Dynamic Panel Data Models

P. Bergstrom

Working Papers from Uppsala - Working Paper Series

Abstract: It is a well-known property that standard GMM estimators for dynamic panel data might perform poorly in small samples. Several papers have noted this to be especially true for the estimated standard errors, which are normally biased downwards. The aim of the present paper is to compare how two recently suggested bootstrap procedures can assist inference in dynamic panel data models, when the mentioned small-sample bias is a potential problem. We do this by means of Monte Carlo experiments, forming tests using both standard errors estimated by asymptotic approximations, as well as by bootstrap procedures.

Keywords: ESTIMATOR; TIME SERIES (search for similar items in EconPapers)
JEL-codes: C15 C23 (search for similar items in EconPapers)
Pages: 17 pages
Date: 1997
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:fth:uppaal:1997-23

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