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

Milda Norkute

doi:10.1016/j.econlet.2014.03.020

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

Milda Norkute

Department of Economics

Research output: Contribution to journal › Article › peer-review

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 language	English
Pages (from-to)	348-351
Journal	Economics Letters
Volume	123
Issue number	3
DOIs	https://doi.org/10.1016/j.econlet.2014.03.020
Publication status	Published - 2014

Subject classification (UKÄ)

Economics

Free keywords

Dynamic panel data models
Heteroscedasticity
Monte Carlo simulations.

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10.1016/j.econlet.2014.03.020

Cite this

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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.",

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AB - 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.

KW - Dynamic panel data models

KW - Heteroscedasticity

KW - Monte Carlo simulations.

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DO - 10.1016/j.econlet.2014.03.020

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JO - Economics Letters

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

Abstract

Subject classification (UKÄ)

Free keywords

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