A Monte Carlo study of a factor analytical method for fixed-effects dynamic panel models

被引：3
|
作者：
Norkute, Milda [1 ]
机构：
[1] Lund Univ, Dept Econ, S-22007 Lund, Sweden
来源：
ECONOMICS LETTERS | 2014年 / 123卷 / 03期
关键词：
Dynamic panel data models; Heteroscedasticity; Monte Carlo simulations; ESTIMATORS;
D O I：
10.1016/j.econlet.2014.03.020
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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. (C) 2014 Elsevier B.V. All rights reserved.
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页码：348 / 351
页数：4
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