Which panel data estimator should I use? A corrigendum and extension

Artikel

This study uses Monte Carlo experiments to produce new evidence on the performance of a wide range of panel data estimators. It focuses on estimators that are readily available in statistical software packages such as Stata and Eviews, and for which the number of cross-sectional units (N) and time periods (T) are small to moderate in size. The goal is to develop practical guidelines that will enable researchers to select the best estimator for a given type of data. It extends a previous study on the subject (Reed and Ye, Which panel data estimator should I use? 2011), and modifies their recommendations. The new recommendations provide a (virtually) complete decision tree: When it comes to choosing an estimator for efficiency, it uses the size of the panel dataset (N and T) to guide the researcher to the best estimator. When it comes to choosing an estimator for hypothesis testing, it identifies one estimator as superior across all the data scenarios included in the study. An unusual finding is that researchers should use different estimators for estimating coefficients and testing hypotheses. The authors present evidence that bootstrapping allows one to use the same estimator for both.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Journal: Economics: The Open-Access, Open-Assessment E-Journal ; ISSN: 1864-6042 ; Volume: 12 ; Year: 2018 ; Issue: 2018-4 ; Pages: 1-31 ; Kiel: Kiel Institute for the World Economy (IfW)

Classification and Topics

• Classification: Wirtschaft ; Single Equation Models; Single Variables: Panel Data Models; Spatio-temporal Models ; Multiple or Simultaneous Equation Models: Panel Data Models; Spatio-temporal Models
• Subject: Panel data estimators ; Monte Carlo simulation ; PCSE ; Parks model

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Moundigbaye, Mantobaye ; Rea, William S. ; Reed, W. Robert
• Event: Veröffentlichung
• (who): Kiel Institute for the World Economy (IfW)
• (where): Kiel
• (when): 2018

Further information

• DOI: doi:10.5018/economics-ejournal.ja.2018-4
• Handle: http://hdl.handle.net/10419/173754
• Last update: 10.03.2025, 11:43 AM CET