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http://hdl.handle.net/10419/35218
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| Title: | | Fixed effects bias in panel data estimators  |
| 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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