Working Paper #2008-039
Further results on bias in dynamic unbalanced panel data models with an application to firm R&D investment
This paper extends the LSDV bias-corrected estimator in [Bun, M.,
Carree, M.A. 2005. Bias-corrected estimation in dynamic panel data
models, Journal of Business and Economic Statistics, 23(2): 200-10] to
unbalanced panels and discusses the analytic method of obtaining the
solution. Using a Monte Carlo approach the paper compares the
performance of this estimator with three other available techniques for
dynamic panel data models. Simulation reveals that LSDV-bc estimator is
a good choice except for samples with small T, where it may be
unpractical. The methodology is applied to examine the impact of
internal and external R&D on labor productivity in an unbalanced panel
of innovating firms.
- Keywords
-
- Bias correction
- unbalanced panel data
- GMM
- dynamic model
- JEL codes
-
- C23
- UNU-MERIT
- Working
- Papers
- ISSN
- 1871-9872
Cite this as
APA 7th ed.Lokshin, B. (2008). Further results on bias in dynamic unbalanced panel data models with an application to firm R&D investment (UNU-MERIT Working Paper No. 2008-039). UNU-MERIT. https://unu-merit.nl/publications/working-papers/abstract/?id=3457