Estimating dynamic panel data models: a guide for macroeconomists

Authors
Judson, RA Owen, AL
Citation
Ra. Judson et Al. Owen, Estimating dynamic panel data models: a guide for macroeconomists, ECON LETT, 65(1), 1999, pp. 9-15
Citations number
11
Categorie Soggetti
Economics
Journal title
ECONOMICS LETTERS
ISSN journal
01651765 → ACNP
Volume
65
Issue
1
Year of publication
1999
Pages
9 - 15
Database
ISI
SICI code
0165-1765(199910)65:1<9:EDPDMA>2.0.ZU;2-0
Abstract
Using a Monte Carlo approach, we find that the bias of LSDV for dynamic pan el data models can be sizeable, even when T = 20. A corrected LSDV estimato r is the best choice overall, but practical considerations may limit its ap plicability. GMM is a second best solution and, for long panels, the comput ationally simpler Anderson-Hsiao estimator performs well. (C) 1999 Elsevier Science S.A. All rights reserved.