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On Bootstrap Standard Errors in Dynamic Panel Data Models

Author

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  • Bergstrom, P.

Abstract

It is a well-known property that standard GMM estimators for dynamic panel data might perform poorly in small samples. Several papers have noted this to be especially true for the estimated standard errors, which are normally biased downwards. The aim of the present paper is to compare how two recently suggested bootstrap procedures can assist inference in dynamic panel data models, when the mentioned small-sample bias is a potential problem. We do this by means of Monte Carlo experiments, forming tests using both standard errors estimated by asymptotic approximations, as well as by bootstrap procedures.

Suggested Citation

  • Bergstrom, P., 1997. "On Bootstrap Standard Errors in Dynamic Panel Data Models ," Papers 1997-23, Uppsala - Working Paper Series.
    • Handle: RePEc:fth:uppaal:1997-23
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    Citations

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    Cited by:

    1. Bergström, Pål & Dahlberg, Matz & Johansson, Eva, 1998. "Municipal labour demand," Working Paper Series 1998:1, IFAU - Institute for Evaluation of Labour Market and Education Policy.
    2. Bergström, Pål, 1999. "Bootstrap Methods and Applications in Econometrics - A Brief Survey," Working Paper Series 1999:2, Uppsala University, Department of Economics.
    3. Bergstrom, P. & Dahlberg, M. & Johansson, E., 1998. "Municipal Labour Demand. Sweden 1988-1995," Papers 1998:24, Uppsala - Working Paper Series.
    4. Bergström, Pål & Lindberg, Sara, 1998. "Firms' Financial Policy and Labour Demand: Theory and Evidence," Working Paper Series 1998:18, Uppsala University, Department of Economics.

    More about this item

    Keywords

    ESTIMATOR ; TIME SERIES;

    JEL classification:

    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models

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