Monte Carlo Comparison of Alternative Estimators for Dynamic Panel Data Models
8 Pages Posted: 8 Jun 2011
Date Written: June 8, 2011
This paper 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.
Keywords: bias correction, dynamic panel data, GMM, MLE
JEL Classification: C23
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