The effects of dynamic feedbacks on LS and MM estimator accuracy in panel data models: Some additional results

A-Tier
Journal: Journal of Econometrics
Year: 2010
Volume: 159
Issue: 1
Pages: 202-208

Score contribution per author:

4.022 = (α=2.01 / 1 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

In this paper, we show that the order of magnitude of the finite sample bias of the estimator of Bun and Kiviet (2006) reduces from O(T/N) to O(1/N) if the original level model is transformed by the upper triangular Cholesky factorization of the inverse of the pseudo variance matrix of error component ui wherein true values of the variances of individual effects and disturbances may not be used. Some variants of the system GMM estimator that are associated with the Cholesky-transformed model are also discussed.

Technical Details

RePEc Handle
repec:eee:econom:v:159:y:2010:i:1:p:202-208
Journal Field
Econometrics
Author Count
1
Added to Database
2026-01-25