Monte Carlo Comparison of Alternative Estimators for Dynamic Panel Data Models

8 Pages Posted: 8 Jun 2011

See all articles by Boris Lokshin

Boris Lokshin

Maastricht University, School of Business and Economics

Date Written: June 8, 2011

Abstract

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

Suggested Citation

Lokshin, Boris, Monte Carlo Comparison of Alternative Estimators for Dynamic Panel Data Models (June 8, 2011). Applied Economics Letters, Vol. 15, No. 1-3, 2008. Available at SSRN: https://ssrn.com/abstract=1860053

Boris Lokshin (Contact Author)

Maastricht University, School of Business and Economics ( email )

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