Consistent OLS estimation of AR(1) dynamic panel data models with short time series
Applied Economic Letters Volume 14 Issue 15
Page 1141-1145
published_at 2007-12
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| File | |
| Title ( eng ) |
Consistent OLS estimation of AR(1) dynamic panel data models with short time series
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| Creator | |
| Source Title |
Applied Economic Letters
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| Volume | 14 |
| Issue | 15 |
| Start Page | 1141 |
| End Page | 1145 |
| Abstract |
In this article, we examine the usefulness of the bias-corrected first-difference (BCFD) estimator by Chowdhury (1987) from two angles: inference and testing. First, we compare the BCFD estimator with Bun and Carree's (2005) estimator and the GMM estimator in terms of accuracy of inference. Second, we propose to use the Hausman test based on these three estimators to test the null of no individual effects. Simulation results show that the BCFD estimator and the Hausman test based on the BCFD estimator perform better than the other two estimators.
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| NDC |
Economics [ 330 ]
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| Language |
eng
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| Resource Type | journal article |
| Publisher |
Routledge
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| Date of Issued | 2007-12 |
| Rights |
Copyright (c) 2007 Taylar & Francis
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| Publish Type | Author’s Original |
| Access Rights | open access |
| Source Identifier |
This is an electronic version of an article published in Appleid Economic Letters Vol.14 No.15 pp.1141-1145, 2007. Applied Economic Letters is available online at : http://www.informaworld.com
[ISSN] 1350-4851
[DOI] 10.1080/13504850600606109
[NCID] AA11010169
[DOI] http://dx.doi.org/10.1080/13504850600606109
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