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Superioridad relativa de los estimadores Kiviet y Blundell-Bond (GMM1) en paneles dinámicos. Un experimento Monte Carlo con muestras finitas

Author

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  • Andrés Eduardo Rangel Jiménez

Abstract

Dado el amplio uso de los datos de panel en modelos dinámicos, es relevante evaluar el desempeno de sus diferentes estimadores en muestras finitas en presencia de baja y alta persistencia. El presente artículo tiene como objetivo analizar, mediante simulaciones tipo Monte Carlo, las propiedades de los estimadores de efectos fijos (LSDV), Arellano y Bond (AB-GMM1), Blundell y Bond (BB-GMM1), Anderson y Hsiao (AH) y Kiviet. Se concluye que en series no persistentes el estimador de Kiviet es el de mejor desempeno, basándose en los criterios de error cuadrático medio, sesgo y desviación estándar; con alta persistencia, el estimador BB-GMM1 es el de mejor desempeno seguido por el estimador de Kiviet, que se comporta bien excepto en micropaneles con series persistentes.

Suggested Citation

  • Andrés Eduardo Rangel Jiménez, 2012. "Superioridad relativa de los estimadores Kiviet y Blundell-Bond (GMM1) en paneles dinámicos. Un experimento Monte Carlo con muestras finitas," Estudios Gerenciales, Universidad Icesi, December.
    • Handle: RePEc:col:000129:011357
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    More about this item

    Keywords

    Datos de panelModelos dinámicosKivietMétodo de momentos;

    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • E00 - Macroeconomics and Monetary Economics - - General - - - General

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