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A Monte Carlo Study of a Factor Analytical Method for Fixed-Effects Dynamic Panel Models

Norkute, Milda LU (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:
author
organization
publishing date
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}},
}