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Title:Fixed effects bias in panel data estimators PDF Logo
Authors:Buddelmeyer, Hielke
Jensen, Paul H.
Oguzoglu, Umut
Webster, Elizabeth
Issue Date:2008
Series/Report no.:IZA Discussion Papers 3487
Abstract: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).
Subjects:Panel data
LSDV
dynamic model
fixed effects
JEL:C23
Persistent Identifier of the first edition:urn:nbn:de:101:1-2008052773
Document Type:Working Paper
Appears in Collections:IZA Discussion Papers, Forschungsinstitut zur Zukunft der Arbeit (IZA)

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