A Monte Carlo Study of a Factor Analytical Method for Fixed-Effects Dynamic Panel Models

Milda Norkute

Research output: Contribution to journalArticlepeer-review

3 Citations (SciVal)

Abstract

In a recent article Bai (2013a) proposes a new factor analytical method (FAM) for the estimation of fixed-effects dynamic panel data models, which has the unique and very useful property that it is asymptotically bias free. In this paper we provide Monte Carlo evidence of the good small-sample performance of FAM, that complement Bai's theoretical study.
Original languageEnglish
Pages (from-to)348-351
JournalEconomics Letters
Volume123
Issue number3
DOIs
Publication statusPublished - 2014

Subject classification (UKÄ)

  • Economics

Keywords

  • Dynamic panel data models
  • Heteroscedasticity
  • Monte Carlo simulations.

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