A Monte Carlo Study of a Factor Analytical Method for Fixed-Effects Dynamic Panel Models
(2014) In Economics Letters 123(3). p.348-351- 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.
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/4437541
- author
- Norkute, Milda LU
- organization
- publishing date
- 2014
- type
- Contribution to journal
- publication status
- published
- subject
- keywords
- Dynamic panel data models, Heteroscedasticity, Monte Carlo simulations.
- in
- Economics Letters
- volume
- 123
- issue
- 3
- pages
- 348 - 351
- publisher
- Elsevier
- external identifiers
-
- wos:000337209400023
- scopus:84898853347
- ISSN
- 0165-1765
- DOI
- 10.1016/j.econlet.2014.03.020
- language
- English
- LU publication?
- yes
- id
- d7a632af-4708-4754-ad02-c83c9e4582c9 (old id 4437541)
- date added to LUP
- 2016-04-01 10:57:46
- date last changed
- 2022-01-26 04:14:34
@article{d7a632af-4708-4754-ad02-c83c9e4582c9, 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.}}, author = {{Norkute, Milda}}, issn = {{0165-1765}}, keywords = {{Dynamic panel data models; Heteroscedasticity; Monte Carlo simulations.}}, language = {{eng}}, number = {{3}}, pages = {{348--351}}, publisher = {{Elsevier}}, series = {{Economics Letters}}, title = {{A Monte Carlo Study of a Factor Analytical Method for Fixed-Effects Dynamic Panel Models}}, url = {{http://dx.doi.org/10.1016/j.econlet.2014.03.020}}, doi = {{10.1016/j.econlet.2014.03.020}}, volume = {{123}}, year = {{2014}}, }