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).
- Language
-
Englisch
- Bibliographic citation
-
Series: IZA Discussion Papers ; No. 3487
- Classification
-
Wirtschaft
Single Equation Models; Single Variables: Panel Data Models; Spatio-temporal Models
- Subject
-
Panel data
LSDV
dynamic model
fixed effects
Panel
Methode der kleinsten Quadrate
Schätztheorie
Theorie
- Event
-
Geistige Schöpfung
- (who)
-
Buddelmeyer, Hielke
Jensen, Paul H.
Oguzoglu, Umut
Webster, Elizabeth
- Event
-
Veröffentlichung
- (who)
-
Institute for the Study of Labor (IZA)
- (where)
-
Bonn
- (when)
-
2008
- Handle
- URN
-
urn:nbn:de:101:1-2008052773
- Last update
-
10.03.2025, 11:41 AM CET
Data provider
This object is provided by:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Buddelmeyer, Hielke
- Jensen, Paul H.
- Oguzoglu, Umut
- Webster, Elizabeth
- Institute for the Study of Labor (IZA)
Time of origin
- 2008
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Testing for panel cointegration using common correlated effects estimators
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Dynamic linear panel regression models with interactive fixed effects