Title of article :
BIAS CORRECTION ESTIMATOR FOR A DYNAMIC PANEL DATA MODEL WITH FIXED EFFECTS USING AN ITERATED BOOTSTRAP
Author/Authors :
Yu, Gang Dongbei University of Finance and Economics - School of Mathematics and Quantitative Economics, China , Yu, Gang Northeast Normal University - School of Mathematics and Statistics - Key Laboratory for Applied Statistics of MOE, China , Gao, Wei Northeast Normal University - School of Mathematics and Statistics - Key Laboratory for Applied Statistics of MOE, China , Shi, Ning-Zhong Northeast Normal University - School of Mathematics and Statistics - Key Laboratory for Applied Statistics of MOE, China
Abstract :
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.
Keywords :
Bias correction estimator (BCE) , Panel data , Fixed effects , Maximum likelihood estimator (MLE) , Alternating iterative maximum likelihood estimator (AIMLE) , Asymptotic normality
Journal title :
Hacettepe Journal Of Mathematics and Statistics
Journal title :
Hacettepe Journal Of Mathematics and Statistics
