A Monte Carlo comparison of alternative estimators for dynamic panel data models

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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.
Original languageEnglish
Pages (from-to)15-18
Number of pages4
JournalApplied Economics Letters
Volume15
Issue number1
Early online dateNov 2007
DOIs
Publication statusPublished - 2008

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