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

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Author

  • Milda Norkute

Summary, in English

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.

Publishing year

2014

Language

English

Pages

348-351

Publication/Series

Economics Letters

Volume

123

Issue

3

Document type

Journal article

Publisher

Elsevier

Topic

  • Economics

Keywords

  • Dynamic panel data models
  • Heteroscedasticity
  • Monte Carlo simulations.

Status

Published

ISBN/ISSN/Other

  • ISSN: 0165-1765