Estimation and Inference in Dynamic Unbalanced Panel-data Models with a Small Number of Individuals

By G. Bruno. 2005

706 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/849fd501992998aec6e261ff1d2ab4425d3d4f23

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In Economics and Econometrics

Citations in the corpus

Liquidity Shocks and Asset Price Boom/Bust Cycles (2007, positive): “We also use the Stata routine provided by Bruno (2005b) to”
Macroeconomic and institutional determinants of financialisation of non-financial firms: Case study of Turkey (2014, methodology): “Bruno (2005b) developed a Stata package that allows for initiating the bias correction from Arellano-Bond and Blundell-Bond estimators.”
The Impact of Supply Constraints on Bank Lending in the Euro Area - Crisis Induced Crunching? (2010, methodology): “Accordingly, we use this approach as implemented by Bruno (2005b) to cross check our empirical findings.10 As in small samples the estimated asymptotic standard errors for this bias corrected dynamic within estimator may yield unreliable t-statistics, statistical inference for the coefficients is…”
Does government ideology influence budget composition? Empirical evidence from OECD countries (2010, background): “The reason is that Monte Carlo simulations demonstrated that the analytical variance estimator performs poorly for large coefficients of the lagged dependent variable (see Bruno 2005b for further details).”
Quasi–maximum Likelihood Estimation of Linear Dynamic Short-T panel-data Models (2016, background): “Other promising approaches that can be more efficient alternatives to GMM with potentially better finite-sample performance remain underrepresented in empirical work: Bias-correction procedures by Kiviet (1995), Bun and Kiviet (2003), and Everaert and Pozzi (2007): user-written implementations xtlsd”
Sovereign bond yield spreads and sustainability: An empirical analysis of OECD countries (2019, methodology): “…only one provides the coefficient on the lagged dependent variable in the bounds of its OLS and FE counterparts, namely the LSDVC estimator of Bruno (2005).5 The endogeneity tests confirm the efficiency of this estimator, as all explanatory variables are exogenous, except for the lagged…”
R&D and Employment: An Application of the LSDVC Estimator Using European Microdata (2012, methodology): “Notes: bootstrapped standard errors (50 iterations; see Bun and Kiviet (2003) and Bruno (2005b)) in parentheses.”
State Capacity and Long-Run Economic Performance (2016, positive): “This procedure is useful for small sample sizes like ours because it does not rely on asymptotic approximations.20 for ∆yi,t−1 following (Bond et al., 2010), and implemented the bias-corrected LSDV estimator proposed by Bruno (2005).”
The Impact of Geopolitical Risks on Financial Development: Evidence from Emerging Markets (2020, methodology): “(3), we utilize fixed-effects and Least Squares Dummy Variable Corrected (LSDVC) estimations introduced by Bruno (2005).”