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A Monte Carlo comparison of alternative estimators for dynamic panel data models

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  • Boris Lokshin

Abstract

This article 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.

Suggested Citation

  • Boris Lokshin, 2007. "A Monte Carlo comparison of alternative estimators for dynamic panel data models," Applied Economics Letters, Taylor & Francis Journals, vol. 15(1), pages 15-18.
    • Handle: RePEc:taf:apeclt:v:15:y:2007:i:1:p:15-18
    DOI: 10.1080/13504850600706545
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    1. Bun, Maurice J.G. & Carree, Martin A., 2005. "Bias-Corrected Estimation in Dynamic Panel Data Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 23, pages 200-210, April.
    2. Blundell, Richard & Bond, Stephen, 1998. "Initial conditions and moment restrictions in dynamic panel data models," Journal of Econometrics, Elsevier, vol. 87(1), pages 115-143, August.
    3. Kiviet, Jan F., 1995. "On bias, inconsistency, and efficiency of various estimators in dynamic panel data models," Journal of Econometrics, Elsevier, vol. 68(1), pages 53-78, July.
    4. Hsiao, Cheng & Hashem Pesaran, M. & Kamil Tahmiscioglu, A., 2002. "Maximum likelihood estimation of fixed effects dynamic panel data models covering short time periods," Journal of Econometrics, Elsevier, vol. 109(1), pages 107-150, July.
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    Cited by:

    1. Petreski, Marjan, 2009. "Analysis of exchange-rate regime effect on growth: theoretical channels and empirical evidence with panel data," Economics Discussion Papers 2009-49, Kiel Institute for the World Economy (IfW Kiel).

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