A Monte Carlo study of the BE estimator for growth regressions

Jan Ditzen; Erich Gundlach

doi:10.1007/s00181-015-1000-5

A Monte Carlo study of the BE estimator for growth regressions

Jan Ditzen, Erich Gundlach^*

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

5 Citations (Scopus)

Abstract

A recent Monte Carlo study claims that the BE estimator outperforms other panel estimators in terms of average estimation bias in a dynamic specification of the Solow model in levels (Hauk and Wacziarg in J Econ Growth 14(2):103–147, 2009). Our simulation results show that the reported performance of the BE estimator depends on the selected parameterization of the data generating process. Using alternative parameter values, a different model specification, and a restricted cross-section estimator, we find that the BE estimator tends to produce a coefficient of the lagged endogenous variable that is biased toward 1.

Original language	English
Pages (from-to)	31–55
Number of pages	25
Journal	Empirical Economics
Volume	51
Issue number	1
Early online date	29 Jul 2015
DOIs	https://doi.org/10.1007/s00181-015-1000-5
Publication status	Published - Aug 2016

Keywords

BE estimator
Convergence rate
Dynamic panel specification
Monte Carlo simulations
Solow model

ASJC Scopus subject areas

Economics and Econometrics
Social Sciences (miscellaneous)
Mathematics (miscellaneous)
Statistics and Probability

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10.1007/s00181-015-1000-5

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abstract = "A recent Monte Carlo study claims that the BE estimator outperforms other panel estimators in terms of average estimation bias in a dynamic specification of the Solow model in levels (Hauk and Wacziarg in J Econ Growth 14(2):103–147, 2009). Our simulation results show that the reported performance of the BE estimator depends on the selected parameterization of the data generating process. Using alternative parameter values, a different model specification, and a restricted cross-section estimator, we find that the BE estimator tends to produce a coefficient of the lagged endogenous variable that is biased toward 1.",

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author = "Jan Ditzen and Erich Gundlach",

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AU - Gundlach, Erich

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AB - A recent Monte Carlo study claims that the BE estimator outperforms other panel estimators in terms of average estimation bias in a dynamic specification of the Solow model in levels (Hauk and Wacziarg in J Econ Growth 14(2):103–147, 2009). Our simulation results show that the reported performance of the BE estimator depends on the selected parameterization of the data generating process. Using alternative parameter values, a different model specification, and a restricted cross-section estimator, we find that the BE estimator tends to produce a coefficient of the lagged endogenous variable that is biased toward 1.

KW - BE estimator

KW - Convergence rate

KW - Dynamic panel specification

KW - Monte Carlo simulations

KW - Solow model

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A Monte Carlo study of the BE estimator for growth regressions

Abstract

Keywords

ASJC Scopus subject areas

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