Working Papers, Department of Economics, Lund University
A Monte Carlo Study of a Factor Analytical Method for Fixed-Effects Dynamic Panel Models
Abstract: In a recent article Bai (Fixed-Effects Dynamic Panel
Models, A Factor Analytical Method. Econometrica 81, 285-314, 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.
Keywords: Dynamic panel data models; Heteroscedasticity; Monte Carlo simulations; (follow links to similar papers)
JEL-Codes: C13; C33; (follow links to similar papers)
20 pages, February 18, 2014
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