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

Gang YU; Wei GAO; Ning-zhong SHİ

Makale detayları

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

Yazarlar:

Gang YU | Wei GAO | Ning-zhong SHİ

Yayıncı:

Hacettepe University

Ana Başlıklar:

Analiz

Dergi:

Hacettepe Journal of Mathematics and Statistics 2011 Vol.40 Issue 1, pp.105-114

Belge Tipi:

Makale

Yayın Tarihi:

12/2010

Belge Dili:

İngilizce

Document ID (Org No.):

2000453669

Sıklık:

İki Aylık

eISSN:

2651-477X

pISSN:

2651-477X

Özet:

 


	 	 	 	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.




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Makale detayları

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

Yazarlar: Gang YU | Wei GAO | Ning-zhong SHİ

Yayıncı: Hacettepe University

Ana Başlıklar: Analiz

Dergi: Hacettepe Journal of Mathematics and Statistics 2011 Vol.40 Issue 1, pp.105-114

Belge Tipi: Makale

Yayın Tarihi: 12/2010

Belge Dili: İngilizce

Document ID (Org No.): 2000453669

Sıklık: İki Aylık

eISSN: 2651-477X

pISSN: 2651-477X

Sayı

Yazarlar:

Gang YU | Wei GAO | Ning-zhong SHİ

Yayıncı:

Hacettepe University

Ana Başlıklar:

Analiz

Dergi:

Hacettepe Journal of Mathematics and Statistics 2011 Vol.40 Issue 1, pp.105-114

Belge Tipi:

Makale

Yayın Tarihi:

12/2010

Belge Dili:

İngilizce

Document ID (Org No.):

2000453669

Sıklık:

İki Aylık

eISSN:

2651-477X

pISSN:

2651-477X