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Title: Feasible bias-corrected OLS, within-groups, and first-differences estimators for typical micro and macro AR(1) panel data models
Authors: Ramalho, Joaquim
Keywords: dynamic panel data,
bias-corrected estimators
Issue Date: 2005
Publisher: Springer
Abstract: In this paper we suggest several alternative ways of constructing feasible bias-corrected (FBC) pooled least squares, within-groups, and firstdifferences estimators for AR(1) panel data models. In a Monte Carlo simulation study involving data with the qualities normally encountered by both microeconomists and macroeconomists we found that the estimators proposed seem to possess better finite sample properties than the GMM estimators usually employed in this setting: most FBC estimators are unbiased, even when the time series is highly persistent, display less variability, and are not affected by the relative magnitude of the variances for the individual effect and the idiosyncratic error.
Type: article
Appears in Collections:CEFAGE - Publicações - Artigos em Revistas Internacionais Com Arbitragem Científica
ECN - Publicações - Artigos em Revistas Internacionais Com Arbitragem Científica

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