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

Abstract

This paper 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 biascorrected 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.

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Cite this paper

@inproceedings{Lokshin2006MonteCarloCO, title={Monte-Carlo comparison of alternative estimators for dynamic panel data models}, author={Boris Lokshin}, year={2006} }