Photo by jorgefdezsalas from unsplash
Abstract This note discusses the pros and cons of using the conditional mean approach of Mundlak and Chamberlain and the linear difference approach to deal with the incidental parameters issue… Click to show full abstract
Abstract This note discusses the pros and cons of using the conditional mean approach of Mundlak and Chamberlain and the linear difference approach to deal with the incidental parameters issue in estimating fixed effects dynamic panel data models. The importance of the data generating process of the explanatory variables and the proper treatment of initial values for either approach to get asymptotically unbiased estimators are demonstrated both analytically and through Monte Carlo studies.
Keywords:
panel data;
data models;
effects dynamic;
dynamic panel;
fixed effects
Journal Title: Econometric Reviews
Year Published: 2020
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!
Journal Title: Econometric Reviews
Year Published: 2020
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!