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Identifier to cite or link to this item: https://hdl.handle.net/10086/13558

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Title
A Bias-Corrected Estimation for Dynamic Panel Models in Small Samples
Creator
Creator Name
Chigira, Hiroaki Chigira, Hiroaki
千木良, 弘朗 千木良, 弘朗
チギラ, ヒロアキ チギラ, ヒロアキ
Affiliation
Affiliation Name
Hitotsubashi University
Creator Name
Yamamoto, Taku Yamamoto, Taku
山本, 拓 山本, 拓
ヤマモト, タク ヤマモト, タク
Affiliation
Affiliation Name
Hitotsubashi University
Editor
Contributor Name
社会科学における統計分析拠点構築 = Research Unit for Statistical Analysis in Social Sciences
Key Word
Generalized method of moments
bias correction
panel data
JEL
C12
C23
Abstract
This paper is concerned with the estimation of the autoregressive parameter of dynamic panel data models. We propose a bias-corrected GMM estimator whose bias is smaller than that of many existing GMM estimators. And we propose a small sample corrected estimator of the variance in order to reduce the size distortion of the Wald test. These estimators are easy to calculate and do not require preliminary estimates. The Monte Carlo experiments indicate that in terms of both bias and size distortion, the bias corrected estimator out performs Blundell and Bond's (1998) system estimator even when using Windmeijer's (2005) correction of the estimated variance of the system estimator.
Publisher
Institute of Economic Research, Hitotsubashi University
Issued Date
2006-07
Language
English(eng)
Resource Type
technical report
Version Type
VoR
Is Part OfRelation -
Related Title
Hi-Stat Discussion paper series ; No. d06-177
Relation
Related Identifier
URI
  http://21coe.ier.hit-u.ac.jp/english/index.html
Number of Pages
34
Sponsorship
21世紀COEプログラム = 21st-Century COE Program
Appears in Collections
Hi-Stat Discussion paper series
URL
https://hdl.handle.net/10086/13558