BIAS CORRECTION ESTIMATOR FOR A DYNAMIC PANEL DATA MODEL WITH FIXED EFFECTS USING AN ITERATED BOOTSTRAP

Year 2011, Volume: 40 Issue: 1, 105 - 114, 01.01.2011

Gang Yu Wei Gao Ning-zhong Shi

Abstract

BIAS CORRECTION ESTIMATOR FOR A DYNAMIC PANEL DATA MODEL WITH FIXED EFFECTS USING AN ITERATED BOOTSTRAP

Abstract

A bias correction estimator (BCE) for a dynamic panel data model with fixed effects is given, based on the alternating iterative maximum likelihood estimator (AIMLE). The new estimator is asymptotically unbiased and consistent. Monte Carlo studies are conducted to evaluate the finite sample properties of the MLE, AIMLE and BCE. It is shown that the BCE based on AIMLE appears to dominate the AIMLE approach both in terms of the median bias (Bias) and median absolute error (MAE) of the estimators.

Keywords

Bias correction estimator (BCE), Panel data, Fixed effects, Maximum like- lihood estimator (MLE), Alternating iterative maximum lik elihood estimator (AIMLE), Asymptotic normality

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