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

DOI10.17535/CRORR.2019.0005MaRDI QIDQ5147604zbMATH OpenOpenAlexWikidataFDO

Authors Blanka Škrabić Perić

Publication date 27 January 2021

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

Copyright license Creative Commons Attribution-NonCommercial 4.0 International

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

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)

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Cites work

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

Cited in

(5)

• 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
• A comparative analysis of different IV and GMM estimators of dynamic panel data models

Describes a project that uses

Uses Software

• xtlsdvc
• XTARSIM
• Stata

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