Arbeitspapier
Fixed effects bias in panel data estimators
Since little is known about the degree of bias in estimated fixed effects in panel data models, we run Monte Carlo simulations on a range of different estimators. We find that Anderson-Hsiao IV, Kiviet's bias-corrected LSDV and GMM estimators all perform well in both short and long panels. However, OLS outperforms the other estimators when the following holds: the cross-section is small (N = 20), the time dimension is short (T = 5) and the coefficient on the lagged dependent variable is large (? = 0.8).
- Sprache
-
Englisch
- Erschienen in
-
Series: IZA Discussion Papers ; No. 3487
- Klassifikation
-
Wirtschaft
Single Equation Models; Single Variables: Panel Data Models; Spatio-temporal Models
- Thema
-
Panel data
LSDV
dynamic model
fixed effects
Panel
Methode der kleinsten Quadrate
Schätztheorie
Theorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Buddelmeyer, Hielke
Jensen, Paul H.
Oguzoglu, Umut
Webster, Elizabeth
- Ereignis
-
Veröffentlichung
- (wer)
-
Institute for the Study of Labor (IZA)
- (wo)
-
Bonn
- (wann)
-
2008
- Handle
- URN
-
urn:nbn:de:101:1-2008052773
- Letzte Aktualisierung
-
10.03.2025, 11:41 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Buddelmeyer, Hielke
- Jensen, Paul H.
- Oguzoglu, Umut
- Webster, Elizabeth
- Institute for the Study of Labor (IZA)
Entstanden
- 2008
Ähnliche Objekte (12)
Fixed effects bias in panel data estimators
Bias corrections for two-step fixed effects panel data estimators
Bias corrections for two-step fixed effects panel data estimators
Bias corrections for two-step fixed effects panel data estimators
On the robustness of fixed effects and reated estimators in correlated random coefficient panel data models
Binarization for panel models with fixed effects
Testing for panel cointegration using common correlated effects estimators
Olley and Pakes‐style Production Function Estimators with Firm Fixed Effects
Panel data estimators and aggregation
Gender-Bias in India: The Importance of Household Fixed-Effects
Dynamic linear panel regression models with interactive fixed effects
Multiple fixed effects in binary response panel data models
Fixed effects bias in panel data estimators
Bias corrections for two-step fixed effects panel data estimators
Bias corrections for two-step fixed effects panel data estimators
Bias corrections for two-step fixed effects panel data estimators
On the robustness of fixed effects and reated estimators in correlated random coefficient panel data models
Binarization for panel models with fixed effects
Testing for panel cointegration using common correlated effects estimators
Olley and Pakes‐style Production Function Estimators with Firm Fixed Effects
Panel data estimators and aggregation
Gender-Bias in India: The Importance of Household Fixed-Effects
Dynamic linear panel regression models with interactive fixed effects
Multiple fixed effects in binary response panel data models
Fixed effects bias in panel data estimators
Bias corrections for two-step fixed effects panel data estimators
Bias corrections for two-step fixed effects panel data estimators
Bias corrections for two-step fixed effects panel data estimators
On the robustness of fixed effects and reated estimators in correlated random coefficient panel data models
Binarization for panel models with fixed effects
Testing for panel cointegration using common correlated effects estimators
Olley and Pakes‐style Production Function Estimators with Firm Fixed Effects
Panel data estimators and aggregation
Gender-Bias in India: The Importance of Household Fixed-Effects
Dynamic linear panel regression models with interactive fixed effects