Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/35218 
Year of Publication: 
2008
Series/Report no.: 
IZA Discussion Papers No. 3487
Publisher: 
Institute for the Study of Labor (IZA), Bonn
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: 
Document Type: 
Working Paper

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