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

被引：0

作者：

Yu, Gang ^{[1
,2
,3
]}

Gao, Wei ^{[1
,2
]}

Shi, Ning-Zhong ^{[1
,2
]}

机构：

[1] NE Normal Univ, Key Lab Appl Stat MOE, Changchun 130024, Jilin, Peoples R China

[2] NE Normal Univ, Sch Math & Stat, Changchun 130024, Jilin, Peoples R China

[3] Dongbei Univ Finance & Econ, Sch Math & Quantitat Econ, Dalian 116025, Liaoning, Peoples R China

来源：

HACETTEPE JOURNAL OF MATHEMATICS AND STATISTICS | 2011年 / 40卷 / 01期

基金：

中国国家自然科学基金;

关键词：

Bias correction estimator (BCE); Panel data; Fixed effects; Maximum likelihood estimator (MLE); Alternating iterative maximum likelihood estimator (AIMLE); Asymptotic normality; MAXIMUM-LIKELIHOOD-ESTIMATION; INFERENCE;

D O I：

暂无

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

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.

引用

页码：105 / 114

页数：10

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