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

Authors : Gang YU, Wei GAO, Ningzhong SHİ

Pages : 105-114

View : 72 | Download : 9

Publication Date : 2011-01-01

Article Type : Research Paper

Abstract :A bias correction estimator insert ignore into journalissuearticles values(BCE); for a dynamic panel data model with fixed effects is given, based on the alternating iterative maximum likelihood estimator insert ignore into journalissuearticles values(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 insert ignore into journalissuearticles values(Bias); and median absolute error insert ignore into journalissuearticles values(MAE); of the estimators.
Keywords : Bias correction estimator BCE, Panel data, Fixed effects, Maximum like lihood estimator MLE, Alternating iterative maximum lik elihood estimator insert ignore i

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