Transcription of Estimating Dynamic Panel Data Models: A Practical Guide ...
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Estimating Dynamic Panel Data Models: A Practical Guide ...
20th & C Sts., , Washington, 20551. Phone: (202)736-5612 Fax: (202)452-*2301. This paper represents the views of the authors and should not be interpreted as reflectingthose of the Board of Governors of the Federal Reserve System or other members of its Dynamic Panel Data Models: A Practical Guide for MacroeconomistsRuth A. L. Reserve Board of Governors*January 1996 AbstractPrevious research on Dynamic Panel estimation has focused on panels that, unlike atypical Panel of macroeconomic data, have small time dimensions and large individualdimensions. We use a Monte Carlo approach to investigate the performance ofseveral different methods designed to reduce the bias of the estimated coefficients forthe longer, narrower panels commonly found for macro data. We find that the biasof the least squares dummy variable approach can be significant, even when the timedimension of the Panel is as large as 30.
a panel of countries to show that increases in income growth precede increases in ... available from the authors upon request. 4 Several estimators have been proposed to estimate Equation (1) when T is not large. 2 Anderson and Hsiao (1981) propose two instrumental variable procedures. To remove the fixed
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