Do the most frequently used dynamic panel data estimators have the best performance in a small sample? A Monte Carlo comparison

DOI10.17535/CRORR.2019.0005zbMATH Open1464.62211OpenAlexW2954347735WikidataQ127557184 ScholiaQ127557184MaRDI QIDQ5147604FDOQ5147604

Authors: Blanka Škrabić Perić 

Publication date: 27 January 2021

Published in: Croatian operational research review (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.17535/crorr.2019.0005

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zbMATH Keywords

dynamic panel datasmall sampleGMM estimatorsLSDV bias-corrected

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Estimation in multivariate analysis (62H12) Causal inference from observational studies (62D20)

Cites Work

• Formulation and estimation of dynamic models using panel data
• GMM Estimation with persistent panel data: an application to production functions
• Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations
• Initial conditions and moment restrictions in dynamic panel data models
• On bias, inconsistency, and efficiency of various estimators in dynamic panel data models
• Estimating dynamic panel data models: A guide for macroeconomists
• The weak instrument problem of the system GMM estimator in dynamic panel data models
• Estimating dynamic Panel data. A practical approach to perform long panels.
• A Monte Carlo study of growth regressions
• Approximating the bias of the LSDV estimator for dynamic unbalanced panel data models
• Orthogonal to backward mean transformation for dynamic panel data models

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• Small sample bias properties of the system GMM estimator in dynamic panel data models
• Behavioural antecedents of Bitcoin trading volume
• Export and total factor productivity of EU new member states
• Estimating dynamic panel data models: A guide for macroeconomists

Uses Software

• Stata
• XTARSIM
• xtlsdvc

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