Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/260105 
Authors: 
Year of Publication: 
2014
Series/Report no.: 
Working Paper No. 2014:7
Publisher: 
Lund University, School of Economics and Management, Department of Economics, Lund
Abstract: 
In a recent article Bai (Fixed-Effects Dynamic Panel Models, A Factor Analytical Method. Econometrica 81, 285-314, 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.
Subjects: 
Dynamic panel data models
Heteroscedasticity
Monte Carlo simulations
JEL: 
C13
C33
Document Type: 
Working Paper

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