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

Yıl 2011, Cilt: 40 Sayı: 1, 105 - 114, 01.01.2011

Gang Yu Wei Gao Ning-zhong Shi

Öz

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

Öz

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.

Anahtar Kelimeler

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

Kaynakça

• Ahn, S. C. and Schmidt, P. Efficient estimation of models for dynamic panel data, Journal of Econometrics 68, 5–27, 1995.
• Arellano, M. and Bond, S. R. Some tests of specification for panel data: Monte Carlo evi- dence and an application to employment equations, Review of Economic Studies 58, 277– 297, 1991.
• Arellano, M. and Bover, O. Another look at the instrumental variable estimator of error- components models, Journal of Econometrics 68, 29–51, 1995.
• Blundell, R. and Bond, S. Initial conditions and moment restrictions in dynamic panel data models, Journal of Econometrics 87, 115–143, 1998.
• Bun, M. J. G. and Carree, M. A. Bias-corrected estimation in dynamic panel data models, Journal of Business and Economic Statistics 23, 200–210, 2005.
• Bun, M. J. G. and Carree, M. A. Bias-corrected estimation in dynamic panel data models with heteroscedasticity, Economics Letters 92, 220–227, 2006.
• Hahn, J. and Kuersteiner, G. Asymptotically unbiased inference for a dynamic panel model with fixed effects when both n and T are large, Econometrica 70, 1639–1657, 2002.
• Hansen, G. A bias-corrected least squares estimator of dynamic panel models, Allgemeines Statistisches Archiv 85, 127–140, 2001.
• Hsiao, C., Pesaran, M. H. and Tahmiscioglu, A. K. Maximum likelihood estimation of fixed effects dynamic panel data models covering short time periods, Journal of Econometrics 109, 107–150, 2002.
• Kiviet, J. F. On bias, inconsistency, and efficiency of various estimators in dynamic panel data models, Journal of Econometrics 68, 53–78, 1995.
• Kuk, A. Y. C. Asymptotically unbiased estimation in generalized linear models with random effects, J. R. Statist. Soc. B 57, 395–407, 1995. [12] Neyman, J. and Scott, E. L. Consistent estimates based on partially consistent observations, Econometrica 16, 1–32, 1948.
• Nickell, S. Biases in dynamic models with fixed effects, Econometrica 49, 1417–1426, 1981. [14] Shi, N. Z. and Jiang, H. Maximum likelihood estimation of isotonic normal means with unknown variance, J. Multivariate Anal 64, 183–195, 1998.
• Shi, N. Z., Hu, G. R. and Cui, Q. An alternating iterative method and its application in statistical inference, Acta Mathematica Sinica 24, 843–856, 2008.
• Smart, D. R. Fixed Point Theorems (Cambridge University Press, London, 1974).